This is a summary of links featured on Quantocracy on Saturday, 11/28/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Petra on Programming: Get Rid of Noise [Financial Hacker]A major problem of indicator-based strategies is that most indicators produce more or less noisy output, resulting in false signals. The faster the indicator reacts on market situations, the noisier is it usually. In the S&C December issue, John Ehlers proposed a de-noising technology based on correlation. Compared with a lowpass filter, this method does not delay the signal. As an example, we