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!
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
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