This is a summary of links featured on Quantocracy on Thursday, 12/21/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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2023 Rally – How Strong Is It? [Alvarez Quant Trading]This end of year rally which started on October 2023 has been strong. My trading buddy and I started wondering how this compares to the past. Is this a normal strong rally or an abnormally strong one? Determining this is always tough because it depends on the indicators you use. Because of that, I tried lots of them. This will be a post short on words but with lots of tables. Where are
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Judging the Quality of Indicators [Dekalog Blog]In my previous post I said I was trying to develop new indicators from the results of my new PositionBook optimisation routine. In doing so, I need to have a methodology for judging the quality of the indicator(s). In the past I created a Data-Snooping-Tests-GitHub which contains some tests for statistical significance testing and which, of course, can be used on these new indicators.
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Research Review | 21 DEC 2023 | Portfolio Design & Risk Factors [Capital Spectator]Factor Zoo (.zip) Alexander Swade (Lancaster University) et al. October 2023 The number of factors allegedly driving the cross-section of stock returns has grown steadily over time. We explore how much this factor zoo can be compressed, focusing on explaining the available alpha rather than the covariance matrix of factor returns. Our findings indicate that about 15 factors are enough to