This is a summary of links featured on Quantocracy on Wednesday, 12/06/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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The “Strike Price” of Long-Only Trend Following [Return Sources]Long-only trend following is a popular way to protect equity portfolios from huge drawdowns, and for several good reasons: 1) It has the advantage of behaving somewhat like insurance, or put options, in that youre exposed to much of the upside and not much of the downside. 2) It doesnt damage your returns as much as buying put options does. (Notice how I said that it doesnt damage your
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How to stream real-time options data [PyQuant News]Ive been trading options contracts for more than 23 years. When I started out, I had to rely on expensive broker data feeds for real-time options data for trading and low-quality free data I scraped from websites for analysis. I spent countless hours reverse engineering the CBOE website for real-time options data, only to have my IP address blocked. I spent $1,125 on 5 years of historic options
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Forecasting time series with decomposition [PyQuant News]In todays newsletter, Im going to show you how to forecast a time series of US unemployment data using decomposition. Time series decomposition is breaking down a single time series into different parts. Each part represents a pattern that you can try to model and predict. The patterns usually fall into three categories: trend, seasonality, and noise. Time series decomposition models are
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After-Tax Performance of Actively Managed Funds [Alpha Architect]Market efficiency, higher trading costs and higher expense ratios are not the only hurdles to successful active management (market timing and individual security selection). For taxable investors, the burden of higher taxes raises the hurdle.(1) From 2002 until now, S&P Dow Jones Indices has published its S&P Indices Versus Active (SPIVA) Scorecard, comparing the performance of actively