This is a summary of links featured on Quantocracy on Tuesday, 12/26/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Differentiated Trend Following [Return Sources]Trend following boils down to one basic idea: buy when the price goes up, and sell when it goes down. Its implementation, though, could be much more complicated. There are a myriad methods and timeframes to choose from, and these methods and timeframes are by and large the dials that CTAs can turn in constructing their trend programs. One manager can focus on long term trend, another one medium
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Easily cross-validate parameters to boost your trading strategy [PyQuant News]Trading strategies often rely on parameters. To enhance and effectively cross-validate these parameters can provide a competitive advantage in the market. However, reliable cross-validation strategies can lead to look-ahead bias and other pitfalls that can lead to overestimating a strategys performance. In todays newsletter, well use VectorBT PRO to easily implement a variety of
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Are stock returns predictable at different points in time? [Alpha Architect]The question of whether stock returns are predictable is of long-standing interest to both academics and investment practitioners. Commonly accepted investment strategies, for example, will behave quite differently in the presence of stock return predictability. The research literature is unclear on the answer and suggests that return predictability, if it exists, will be difficult to exploit on
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Momentum Everywhere, Including Equity Options [Alpha Architect]Because of the strong evidence, momentum continues to receive much attention from researchers. Out of the hundreds of exhibits in the factor zoo, one of just five equity factors that met all the criteria (persistent, pervasive, robust, implementable, and intuitive) Andrew Berkin and I established in our book Your Complete Guide to Factor-Based Investing was momentum (both cross-sectional