This is a summary of links featured on Quantocracy on Thursday, 12/24/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Equities Strategy (p2) [Tr8dr]In the prior post I showed results for a new equities strategy which uses a combination of signals to create and risk manage a high-momentum portfolio. Further investigation revealed that I had neglected on a couple of fronts: failed to account for dividends (which are substantial) some data issues improper sharpe calculation The good news is that solving these issues substantially improved the
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How Should Trend-Followers Adjust to the Modern Environment?: Enter Adaptive Momentum [CSS Analytics]The premise of using either time-series momentum or trend-following using moving averages is the same only the math differs very slightly (see Which Trend Is Your Friend? by AQR): using some fixed lookback you can time market cycles and capture more upside than downside and therefore improve performance vs buy and hold OR at the very least improve return versus downside risk. The problem
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Correlation approaches for stock pairs you have not seen before [Trade With Science]As described in our other articles, stock pairs are a mean-reversion trading system widely used in the industry. In pairs, you invest in 2 stocks that are correlated somehow and go long in one and short in another (classical Coca-Cola and Pepsi example). Naturally, you are hedged in the market, so this is a market-neutral strategy. The idea is pretty simple you watch the stocks whose price