This is a summary of links featured on Quantocracy on Wednesday, 12/18/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Converting LOBSTER demo R code into Python [R Trader]It has been more than a year since my last post, Ive been super busy with consulting assignments working on algorithmic/electronic trading. The workload is still heavy but I managed to find a few hours to write this post as I came across a new great tool: LOBSTER (and before anyone asks Ive no link whatsoever with the company) LOBSTER stands for: Limit Order Book System The Efficient
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Protecting the Downside of Trend When It Is Not Your Friend: Part 2/2 [Alpha Architect]In Part 1 of this article, we reviewed the performance of using a more complex form of simple trend following (i.e. adding a channel breakout rule alongside a simple time-series momentum rule). The simple trend signal (S) used was based on the sign of the trailing 12-month return of the asset. The universe tested was robust. Assets included at least 60 liquid futures/forward contracts across
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An Analysis of Testing Benjamin Graham s Net Current Asset Value Strategy in London [Alpha Architect]This is our third post in our series on net-nets having previously analyzed Benjamin Grahams Net Current Asset Values: A Performance Update by Henry R. Oppenheimer and Grahams Net-Nets: Outdated or Outstanding? by James Montier. The focus of this post is the research paper Testing Benjamin Grahams Net Current Asset Value Strategy in London which was originally