This is a summary of links featured on Quantocracy on Sunday, 12/01/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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How You Measure Months Matters A Lot. A Look At Two Implementations of KDA [QuantStrat TradeR]This post will detail a rather important finding I found while implementing a generalized framework for momentum asset allocation backtests. Namely, that when computing momentum (and other financial measures for use in asset allocation, such as volatility and correlations), measuring formal months, from start to end, has a large effect on strategy performance. So, first off, I am in the job
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RSI Hellfire Heatmap Indicator [Philipp Kahler]Chart analysis is all about visualizing data. The RSI hellfire indicator uses a heat-map to visualizes how overbought or oversold the market is on a broad scale. This helps to get a broad picture of the current market setup. Multiple Time-frame Relative Strength Index Wells Wilders RSI is an old timer of technical indicators. It tries to find out if markets are overbought or oversold. Usually