This is a summary of links featured on Quantocracy on Monday, 12/18/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Spearman’s rank correlation of technical indicators [Grzegorz Link]RSI, MACD, Stochastic, ROC, CCI, %b – technical indicators come in many shapes and sizes.[1] Their names suggest something very technical at play. Maybe even scientific. Yet, they are a polarizing tool. They generate strong, opposing opinions. Some traders value them with near religious zeal, while others despise them as a useless mix of witchcraft and salesmanship, and quite simply, scams. Or at
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Directional Change in Trading: Indicators, Python Coding, and HMM Strategies [Quant Insti]Usually, regime detection is made with an HMM estimation over price returns or price return volatility. However, Chen and Tsang (2021) propose to use the Directional Change indicators as input for a HMM to detect regime shifts. They show that the HMM applied to the Directional Change indicators detects regime shifts better than with an HMM applied to price return volatility. Here we apply
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How to ingest premium market data with Zipline Reloaded [PyQuant News]This article explains how to build the two Python scripts you need to use premium data to create a custom data bundle using Zipline Reloaded. Step 1: Subscribe to premium data By now you should already have an account with Nasdaq Data Link. If not, head over to https://data.nasdaq.com and set one up. Youre looking for QuoteMedia End of Day US Stock Prices. This product offers end-of-day prices,