This is a summary of links featured on Quantocracy on Wednesday, 12/15/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trading a Complete Starter System Live with @AlpacaHQ [Raposa Trade]Weve spent the past few posts building up the Starter System laid out in Rob Carvers book, Leveraged Trading. Weve gone from a simple moving average cross-over model, to a volatility targeting system with multiple instruments and time frames that dynamically sizes and re-positions your portfolio as market conditions change. Youve done all this work, now its time to make it pay off
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Yet Another Improved RSI [Financial Hacker]John Ehlers strikes again. The TASC January 2022 issue features another indicator supposedly improved with Hann windowing the RSIH, a RSI with Hann flavour. Can it beat the standard RSI? The RSI is basically the normalized difference of price up/down movements. And its here presented Hann variant filters the price differences with a Hann window that was described in a previous article on this
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Self-organizing maps for clustering [Quant Dare]We can use self-organizing maps for clustering data, trained in an unsupervised way. Lets see how. This week we are going back to basics, as we will see one of the first successfully deployed machine learning algorithms: self-organizing maps (SOM, sometimes also called Kohonen maps). This is an unsupervised technique, so we will not need any labeled data for training, just raw inputs.
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A Stab at Fiction (Unrelated to Quant, but we support our friends) [Following the Trend]When I wrote my first book a decade ago, I didnt expect it to get much attention, or sales. I was in the wrong country, of the wrong nationality, I had shunned social media and was nearly invisible on the internet. On top of these obstacles, I tried out a whole new style of writing trading books. It was quite shocking when I saw that book take off and hit the number one slot on the