This is a summary of links featured on Quantocracy on Wednesday, 12/07/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Replicating CRSP Volatility Decile Portfolios in R [Propfolio Management]In this post, I provide R code that enables the replication of the Center for Research in Security Prices (CRSP) Volatiliy Deciles using Yahoo! Finance data. This post is related to my last blog post in that it will generate the CRSP low volatility decile portfolio, thereby facilitating the replication of the associated EMA trading strategy. There are a few caveats to this replication: There will
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Using recent returns for Mean Reversion [Alvarez Quant Trading]In most of my mean reversion posts, I use RSI(2) to determine if a stock has sold off. In this post, I will explore how to use a stocks recent return to determine if it has sold off. This will be done in way to normalize the return between low and high volatile stocks. This basic strategy has only two setup rules. Rate of Change We will be using Rate of Change (ROC) of the closing price. The
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Ranking the top and bottom TAA strategies [Investing For A Living]Following up on my last post, Id like to take a deeper dive into the performance of TAA strategies. In particular, Ill take a look at the differences between the top performing TAA strategies and the bottom performing ones. There are some important points that come out of this analysis which I think are quite useful when deciding which TAA strategies are right for you. As in my last post
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State of Trend Following Drawdown Levels Comparison [Wisdom Trading]A couple of months ago, we published a study on the performance of trend following after drawdowns, as the State of Trend Following index was hitting high levels of drawdown (about 2/3 of the historical maximum). We showed that in 80% of cases, the post-drawdown performance is positive, showing that investing in trend following strategies during periods of under-performance can be beneficial.