Quantocracy’s Daily Wrap for 12/22/2016

If you couldnt tell from our recent monster commodity futures post, weve been thinking a lot about futures recently. The futures research area is relatively fresh, and a lot more exciting than hacking through equity stock selection research where we already understand the basic answer buy cheap/quality, buy strength, and embrace relative performance pain. As part of our research

When talking about quantitative trading, there are a large number of indicators and operators we can use as a buy/sell rule. But apart from deciding what indicator we will follow, the most important part would be setting the correct parameters. So, one method we can use to find adequate parameters without spending a lot of time in the simulation of a lot of combinations would be using a genetic

This paper investigates the relation between monetary conditions and the excess returns arising from an investment strategy that consists of borrowing low-interest rate currencies and investing in currencies with high interest rates, so-called "carry trade". The results indicate that carry trade average excess return, Sharpe ratio and 5% quantile differ substantially across expansive and

As Professor John Cochrane observed, the literature on investment factors now fills a veritable factor zoo with hundreds of options. How do investors select from among this huge array of possibilities? Noah Beck, Jason Hsu, Vitali Kalesnik and Helge Kostka, authors of the paper Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs, which appears in the

The introduction to this series, here, described the different variations of SPX iron condors (IC) and exits that were tested at 38 days to expiration (DTE). Recall, the tests covered 9 IC variations, with short strike deltas at four locations, utilizing 12 exits. In all, there were 432 test runs (9 variations x 4 deltas x 12 exits). Each test run executed more than 200 SPX IC trades between the