This is a summary of links featured on Quantocracy on Wednesday, 11/28/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Stiffness Indicator Analysis [Alvarez Quant Trading]A reader pointed me the November 2018 issue of Technical Analysis of Stocks & Commodities to an article about a trend following indicator on S&P500 stocks. I liked the concept of the indicator and the article had backteted results and AmiBroker code. How could I resist not looking into this? Little did I realize this would lead to Backtesting is Hard and How much does not having
Deep Reinforcement Trading [Quant Dare]Deep Reinforcement Learning applications in finance are still largely unknown. Nonetheless, recent developments in other fields have pushed researchers towards exciting new horizons. I believe that there is a huge potential for Reinforcement Learning in finance. As investment guru Ray Dalio, founder of Bridgewaters, defends in his book Life and Work Principles, investment is an iterative process.
When SPX Closes Higher On Bad Breadth [Quantifiable Edges]While the SPX closes higher on Tuesday, NYSE breadth was weak both from an % Up Issues and % Up Volume standpoint. This triggered the study below from the Quantifinder. I also discussed it in last nights subscriber letter. 2018-11-28-1 Here we see numbers suggesting a substantial bearish edge over the next 1-4 days. Below is the full list of instances and their 4-day returns. 2018-11-28-2