Quantocracy’s Daily Wrap for 11/30/2015

To date on QuantStart we have considered two major quantitative backtesting and live trading engines. The first arised from the Event-Drive Backtesting series I wrote back in March 2014. The second is QSForex, an open-source backtest and live trading engine that hooks into the OANDA Forex Broker API, which is still being used by many of you. I've had a lot of requests recently for a more

With Januaries (a month in which lagged "losers" typically outperform lagged "winners") excluded, the average monthly return to a momentum strategy for U.S. stocks was found to be 59 bps for non-quarter-ending months but 310 bps for quarter-ending months. The pattern was stronger for stocks with high levels of institutional trading and was particularly strong in December. The

Jeff Swanson's Trading System Success web site is often worth a visit for those looking for new trading ideas. A recent post Seasonality S&P Market Session caught my eye, having investigated several ideas for overnight trading in the E-minis. Seasonal effects are of course widely recognized and traded in commodities markets, but they can also apply to financial products such as the

As a financial analyst or algo trader, you are so often faced with information on, inter alia, daily asset trading in a form of a daily returns matrix. In many cases, it is easier to operate with the return-series rather than with price-series. And there are excellent reasons standing behind such decision, e.g. the possibility to plot the histogram of daily returns, the calculation of daily

It is important to know the difference between high frequency and low frequency trading before discussing the specific trading strategies. Opinions tend to differ on what constitutes high frequency but by and large there is a consensus that the duration of asset holding period is very low, ranging from seconds to minutes. High frequency trading revolves around market microstructure and order book

Ever since the global financial crisis, the real interest rates of developed economies have remained in negative territory. Nominal interest rates hover near zero, and inflation rates, although quite low for historical standards, have remained positive (in most countries, at least on average). Whats more, negative nominal interest rates have even been observed in some developed countries for

First draft of 'JavaScript for Financial Analysts' Chapter 10. ~ D3 is a foreboding beast. It eschews classic programming styles in favour of a more functional approach. Luckily however, if you have come this far, get ready to sit back and enjoy of the fruits of your labour. Almost every charting library is descriptive, they give you several chart templates which you can configure and

OK, I will admit I am a bit late with this one. Ill go ahead and blame The Holidays. Anyway, if you were wondering when it might be a good time to hold real estate stocks, the answer might well be, um, Now. (Jay Kaeppel Interview at BetterSystemTrader.com) Favorable Seasonal Period for Real Estate Stocks *A favorable seasonal period for real estate stocks tends to occur between the

The Ivy Portfolio spreadsheet track the 10 month moving average signals for two portfolios listed in Mebane Fabers book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that have trading signals based on long-term moving averages. The Ivy Portfolio spreadsheet tracks both the 5 and 10 ETF Portfolios listed in