Quantocracy’s Daily Wrap for 12/23/2015

An essential guide to the trouble spots and oddities of R. In spite of the quirks exposed here, R is the best computing environment for most data analysis tasks. R is free, open-source, and has thousands of contributed packages. It is used in such diverse fields as ecology, finance, genomics and music. If you are using spreadsheets to understand data, switch to R. You will have safer – and

Lets wrap this up! We established a baseline using a moving-average system on the price of SPY to determine when we enter and exit the market. Then we tested a variety of breadth indicators, using the diffusion calculation and requiring entries and exits to have ten days above or below the threshold before acting. Our grand prize winner used a breadth indicator that counted all the stocks that

This week I had the great pleasure of speaking with Dr Ernest Chan, from Toronto (Canada). While many traders in the quantitative arena will already be familiar with Ernie, here's a brief intro You could say, Ernie had somewhat of an unconventional introduction to trading – he started out on a research team at IBM, using machine learning and artificial intelligence techniques, teaching

I've been posting and updating the "Twas 3 Nights Before Christmas" study on the blog here since 2008. The study kicked in at the close yesterday close. This year I will again show the Nasdaq version of the study. While all the major indices have performed well during this period, the Nasdaq Composite has some of the best stats. 2015-12-23 image1 The stats in this table are strong

Value, Size, Momentum and the Average Correlation of Stock Returns

The Factor Structure of Time-Varying Discount Rates

Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk

Many investors today are confronting what could be considered a perfect storm that is creating strong head winds against the pursuit of higher expected returns. So far, we have discussed the main factors currently working against investors, as well as some steps they might consider taking to help combat this problem. We will now examine why increasing your exposure to certain investment

This is the fifth article in a series looking at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT). For background on the setup for the backtests, as well as the nomenclature used in the tables below, please see the introductory article for this series: Option Straddle Series – P&L Exits This post reviews the backtest results for 4160 options