This is a summary of links featured on Quantocracy on Wednesday, 12/04/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Adaptive VIX Moving Average with Ehlers Alpha Formula [CSS Analytics]In the last post I described a relatively simply method to incorporate the VIX into the well-known AMA or Adaptive Moving Average framework. The alpha formula requires two separate parameters- a short and a long-term constant which requires greater specification by the user. Ideally the fewer parameters you have to specify the better (although it is important to note that logical requirements for
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Mitigating overfitting on Trading Strategies [Quant Dare]According to Wikipedia in finance, a trading strategy is a fixed plan that is designed to achieve a profitable return by going long or short in markets. The main reasons that a properly researched trading strategy helps are its verifiability, quantifiability, consistency, and objectivity. For every trading strategy, one needs to define assets to trade, entry/exit points, and money management