Quant Mashup
Questioning Your Most Dangerous Assumptions: Sector Rotation [Flirting with Models]
The term "black swan" has become synonymous with "rare event" 每 but the original concept proposed by Nassim Taleb was a bit more nuanced. The term came from the latin phrase "rara avis in terris nigroque simillima cygno": a rare bird in the lands and very much like a(...)
Interviewing the Quants: Marco Simioni and Nightly Patterns [Godel's Market]
Welcome back to Interviewing the Quants. This will be the second interview in the series. Many of you might know our guest from his trading at Nightly Patterns (http://nightlypatterns.wordpress.com). His name is Marco Simioni and he＊s agreed to give us greater insight into what he does and who he(...)
Portfolio Analysis in R: Part III | Adding A Global Strategy [Capital Spectator]
I＊ve been analyzing a 60/40 US stock/bond portfolio in R in a series of posts and today＊s installment picks up from the previous post by adding a global strategy. The goal is enhancing the 60/40＊s return while keeping risk at a comparable if not lesser level. Overly ambitious? Perhaps, but(...)
How-To-Guide: Asset Allocation Backtesting Tool [Alpha Architect]
Our Asset Allocation Backtesting Tool is Live! You can build and backest your own allocation portfolio using our "Allocation Architect" tool. How to Access the Tool? Step 1: Click "Our tools" tab from our main website page. 1.1 Click to enlarge. Step 2: If you already have a(...)
An R tutorial for Microsoft Excel users [Revolutions]
If you currently use a spreadsheet like Microsoft Excel for data analysis, you might be interested in taking a look at this tutorial on how to transition from Excel to R by Tony Ojeda. The tutorial explains how to use R functions in place of Excel formulas, including tools like =AVERAGE and(...)
Value Investing Fund Assessment: The Incorrect Approach [Alpha Architect]
US News laundry lists their top 10 "Value Investing Funds," or Value Investing ETFs, in their recent article: http://money.usnews.com/funds/etfs/rankings/value-funds The criteria (and weighting) for selecting so-called "Value" ETFs are outlined below: Expense Ratio (30%) Tracking(...)
Single Indicator Strategy with Sharpe ~1 on SPY [Analytical Accuracy]
We construct a strategy based on a single indicator 每 percentage of close price within the range of [Past N days Low, Past N days High]. First we calculate the indicator (pBand variable below) require(quantmod) getSymbols('SPY') Lookback=10 HLC=SPY[,c(
Pyramid Your Trading Profits Using the Gator [Tradinformed]
In this article I describe the Gator Oscillator and how it can be used as part of a pyramid entry trading system. I show the results of a Gator trading strategy on the S&P500 Index from 2000-2015. Pyramid Entry Systems It is tough to find good trades. In most markets at most times there will(...)
Developing Statistical Arbitrage Strategies Using Cointegration [Jonathan Kinlay]
In his latest book (Algorithmic Trading: Winning Strategies and their Rationale, Wiley, 2013) Ernie Chan does an excellent job of setting out the procedures for developing statistical arbitrage strategies using cointegration. In such mean-reverting strategies, long positions are taken in(...)
Janitor to Multimillionaire? Not In This Market [Philosophical Economics]
Last week, CNBC profiled the inspirational story of Ronald Read, a gas station attendant and janitor from Vermont who amassed an $8MM fortune simply by investing portions of his small salary into high-quality, dividend-paying U.S. equities. Given the sampling of names that Read is reported to have(...)
Open Source Future of Algorithmic Trading [Quant Connect]
We＊re proud to announce, thanks to the support of the community, the LEAN Algorithmic Trading Engine is now 100% open source. You have the freedom to connect any data source, execute through any brokerage and design any algorithm 100% locally. Moment of our Open Sourcing, Jan 12th 2015 It＊s an(...)
The end of EOM? - Strategy and Rebalancing [Sanz Prophet]
Posted by - Sanz Prophet Historically and up to 2013, equities have exhibited a positive bias during the end of the month. Here is an example of buying the SPY etf on the first down-day after the 23rd and selling on the first up-day of the next month. Trading is at the same day close.
Predicting a stock＊s daily trading volume from the market open [MKTSTK]
Given yesterday＊s post showing the link between trading volume and stock valuation, it would seem appropriate to investigate the ways in which we can predict today＊s volume. Its all well and good to know that high volume coincides with volatility and falling prices but how do we know we are(...)
The Quarterly Tactical Strategy (aka QTS) [QuantStrat TradeR]
This post introduces the Quarterly Tactical Strategy, introduced by Cliff Smith on a Seeking Alpha article. It presents a variation on the typical dual-momentum strategy that only trades over once a quarter, yet delivers a seemingly solid risk/return profile. The article leaves off a protracted(...)
A Tactical Asset Allocation Horserace Between Two Thoroughbreds [Alpha Architect]
Executive Summary: Dual Momentum, a concept pioneered by Gary Antonacci, intelligently combines elements of two types of momentum investing strategies -- absolute and relative momentum -- into a comprehensive asset allocation system. His paper shows that the combination of time-series momentum and(...)
February expiration week up 7 of last 9 [Almanac Trader]
The first day of S&P 500 February expiration week has been up in four of the last five years. This is a respectable streak, but still short of the 12-year winning streak that lasted from 1994 to 2005. Nonetheless, the first trading day of option expiration week is clearly bullish with S&P(...)
New highs, but with an asterisk? $QQQ [@NautilusCap]
New highs, but with an asterisk? $QQQ
How The Friday Before Presidents Day Has Changed [Quantifiable Edges]
It is notable is that Friday is the last day before the President＊s Day holiday. Historically the Friday before President＊s Day has been a poor performer. But more recently the downside edge has not persisted. This can be seen in the curve below.
Dual momentum: lookback parameter [RRSP Strategy]
A great advantage of dual momentum is the low number of parameters (typically only a lookback length of 12 months is used). This reduces the likelihood that results are curve-fitted or uncovered by data-mining and subsequently useless in real-time trading. ＃ Continue reading U
Sentiment Warning Signal Flashing Red - Again [Trader Edge]
Many traders use technical and/or fundamental data, but few traders have discovered the unique benefits of using sentiment data in their investment process. Sentiment data attempts to quantify the emotional mood of investors and traders and can be used as a very effective contra-indicator. When(...)
Presidents＊ Day, negative before & after [Almanac Trader]
Page 88 of the Stock Trader＊s Almanac 2015, points out that Presidents＊ Day is the poorest performing holiday of the eight holidays that are tracked. Unlike the others, the trading day before and the trading day after this three-day holiday weekend are both down on average over the past 34(...)
Overnight Momentum vs. Intraday Momentum [Alpha Architect]
We decompose the abnormal profi?ts associated with well-known patterns in the cross-section of expected returns into their overnight and intraday components. We show that, on average, all of the abnormal returns on momentum strategies remarkably occur overnight while the abnormal profi?ts on the(...)
The Narrative is Reality [GestaltU]
※I have come to believe that the whole world is an enigma, a harmless enigma that is made terrible by our own mad attempt to interpret it as though it had an underlying truth.§ 求 Umberto Eco, Foucault＊s Pendulum Back in the days when I still thought markets were driven by fundamentals I used(...)
New Channel Concepts: Volatility-Adjusted Time Series [CSS Analytics]
In the last several posts, I introduced some different methods for channel strategies including Percentile Channels. A simple way to potentially improve (or at least take a different approach) to a donchian channel strategy is to use a different price input to generate trading signals. As stated in(...)
Small Trader Pessimism bodes well for stocks $SPY [@NautilusCap]
Small Trader Pessimism bodes well for stocks $SPY
The VIX? 每 A Rear-View Mirror Or Crystal Ball [Trading the Odds]
Most recently there has been a lot of chatter and discussion in the financial blogosphere regarding the CBOE Volatility Index (VIX?) soaring higher since December 5, 2014 when the index closed at its preliminary low of 11.82 (the index closed at 22.39 on January 15, 2015), despite the fact that the(...)
Dual Momentum Portfolio Update [Scott's Investments]
Scott＊s Investments provides a free ※Dual ETF Momentum§ spreadsheet which was originally created in February 2013. The strategy was inspired by a paper written by Gary Antonacci and available on Optimal Momentum. Antonacci has a new book out, Dual Momentum Investing: An Innovative Strategy for(...)
Silver＊s seasonal slump underway [Almanac Trader]
Over the years silver has peaked in February, most notably so in 1980 when the Hunt Brothers＊ plot to corner the silver market was foiled. Our seasonal analysis shows that going short on or about February 20 and holding until about April 25 has worked 32 times in the last 42 years for a win(...)
What I am reading: Feb 11, 2015 [Alvarez Quant Trading]
Recent articles that I found interesting and made me think. S&P 500 Snapshot: Check out the ＆A Perspective on Drawdowns＊ to see how shallow drawdowns have been overall since 2009. This Is The Best Illustration Of History＊s Bull And Bear Markets We＊ve Seen Yet 每 A longer term look at(...)
Rob Hanna Giving Free Webinar About Trading On & Around Fed Days (Wed 5:30pm EST) [Quantifiable Edges]
As part of the Festival of Traders I will be presenting a webinar on Wednesday at 5:30pm EST with much of my Fed Day research in focus.
Click here for more information and to register for the event.
The Very Cheapest Stocks (Price/Book) Do Very Badly [Millennial Invest]
Book to price is a bad value factor. It is a decent stock selection factor overall, but relative to the other ways of measuring value (earnings to price, cash flow to price, EBITDA/EV, etc) it is sub par. I've been interested lately in very concentrated value portfolios, and found it(...)
Bitcoin L3 Feeds: Status [Tr8dr]
I have implemented 4 bitcoin exchange interfaces now that produce a live L3 stream of orderbook updates + trades of the form: Screen Shot 2015-02-10 at 6.33.12 PM Given the above, can reconstitute the orderbook as it moves through time, and can likewise be used to creat
Are Some Decisions to Allocate to U.S. Equities Due to Survivorship Bias? [Alpha Architect]
The primary driver of long-horizon wealth is expected returns. Why would you invest in anything but stocks? Why isn＊t your portfolio 100% stocks? Do you believe stocks are going to have the highest return? By the way, stocks have averaged 10% a year for a long period of time. Bonds have averaged(...)
Transports Slipping $IYT [@NautilusCap]
Transports Slipping $IYT
Volatility and "Crashing Up" [Flirting with Models]
A frequent point of conversation that we have at Newfound 每 both internally and with advisors 每 is the role of volatility as a measure of risk. On the one hand, from a statistical point of view, higher volatility implies a greater potential magnitude of loss. On the other hand, investors are(...)
Modelling Asset Returns with Brownian Motion [Quanttech]
The geometric Brownian motion model allows you to generate a series of prices for an asset. It is a type of stochastic process that follows a Brownian motion path with a drift. Stochastic processes are a concept from probability theory which are used to model the change in a seemingly random process(...)
Utilities relative strength top? $XLU [@NautilusCap]
Utilities relative strength top? $XLU
RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta Continued [DTR Trading]
This post is a continuation of the prior post. I will show the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with 8 delta short strikes, with different profit and loss exits as a percentage of the initial credit. For some background on how these results are(...)
PELTing a Competing Changepoint Algorithm [QuantStrat TradeR]
This post will demonstrate the PELT algorithm from the changepoint package每a competing algorithm to the twitter package＊s breakout detection algorithm. While neither of these algorithms produce satisfactory results, one change point location approximation algorithm that makes no distributional(...)
The Impact of Cash Flow on Asset Allocation Decisions [Alpha Architect]
nvestors trying to make decisions on how to invest their savings face many complications that are frequently ignored in research papers on asset allocation. Often, it is assumed that a fixed lump sum of money is invested. But this is rarely the case in real world investing for the individual(...)
Exploring social media analytics [Behavioural Quant]
I＊ve previously touched on the use of social media analytics as one useful measure of investor sentiment. It does occur to me that it might be interesting to explore a particular source of such analytics. This could be of service by making the concepts more tangible and by illustrating the growth(...)
Monte Carlo K-Means Clustering of Countries with Python (Part 2/3) [Stuart Gordon Reid]
In the first part of this three-part series, What Drives Real GDP Growth?, I identified four themes which drive real GDP growth. These themes are based on 19 socioeconomic indicators whose average Spearman and Pearson correlations to real GDP growth were statistically significant and greater than(...)
A ※Simple§ Tactical Asset Allocation Portfolio with Percentile Channels (for Dummies) [CSS Analytics]
I actually received a large volume of what could best be chararcterized as ※hate mail§ for one of the previous posts on percentile channels. In reading these comments I was reminded of Jimmy Kimmel＊s funny segments where celebrities read mean tweets about themselves. While I did not publish(...)
Constructing an Alpha Portfolio with Factor Tilts [Alphaism]
In this post I＊d like to show an example of constructing a monthly-rebalanced long-short portfolio to exploit alpha signals while controlling for factor exposures. This example covers the time period between March 2005 and 2014. I use 477 stocks from S&P500 universe (data source: Quandl) and(...)
Simple Monte Carlo With Thrust [Quant Trader]
We have already shown before how to set up CUDA in both Windows and Linux environment and how to create a simple project. Today we will demonstrate how easy it is to perform a simple Monte Carlo simulation using Thrust library. We will do so by estimating 羽 with random numbers. From the(...)
For an Auditor, Intuition Might Matter! [Alpha Architect]
Based on psychology theory, we propose that intuition can be a key element stimulating auditor skepticism, whereas overreliance on analytical processing can overwhelm auditors＊ intuition thereby reducing skepticism. We test our expectations with an experiment containing responses from 85 senior(...)
Time to consider Materials Leadership? $XLB [@NautilusCap]
Time to consider Materials Leadership? $XLB
26% a Year in 3 Easy Trades? [Jay On The Markets]
Some trading strategies make intuitive sense. Other trading strategies do not. With some trading strategies it is possible to articulate some logical reason or reasons regarding why they might be expected to work well over time. With others trading strategies, well, not so much.
CAGR Confidence Intervals and Consistency [Quantlab.co.za]
Last year Rowan spoke about the importance of consistency in portfolio construction and today I'd like to expand on the concept a little. There are a number of reasons why consistency is important: 1) our performance pegged pricing structure is based on consistency 2) it's psychologically(...)
Doom and the Stock Market [CXO Advisory]
Is proximity to doom good or bad for the stock market? To measure proximity to doom, we use the ※Doomsday Clock§ ※Minutes-to-Midnight§ metric, revised occasionally via the Bulletin of the Atomic Scientists, which ※conveys how close we are to destroying our civilization with dangerous(...)
Jeff paid no attention to Larry＊s natural anger and wonder. ※Well,§ concluded Mr. Everdail, ※here are the emeralds, minus the chain, which can easily be duplicated. And you know who＊s who, and why the hangar seemed to be haunted, and all about the gum. Is there anything you don＊t understand?〞before Larry starts taking flying instructions from Jeff and you others join my wife and I for a cruise to Maine where I will leave Mrs. Everdail.§ 119 Naturally, when he pulled back on the stick and it did not yield, Jeff shouted through the speaking tube, ※Let go!§ for he thought Larry had lost his head and was fighting his control. Surprised, Larry did as he asked. The Young Pretender, during this time, had been making a hard run for his life, beset and hunted on all sides for the thirty thousand pounds set upon his head. During the whole five months of his adventurous wanderings and hidings, nothing could induce a single Highlander to betray him, notwithstanding the temptation of the thirty thousand pounds. The most familiar story is his escape from South Uist, where he had been tracked and surrounded. At this moment Miss Flora Macdonald, a near relative of Macdonald of Clanranald, with whom she was on a visit, stepped forward to rescue him. She procured a pass from Hugh Macdonald, her stepfather, who commanded part of the troops now searching the island, for herself, her maid, Betty Burke, and her servant, Neil Mac Eachan. She, moreover, induced Captain Macdonald to recommend the maid, Betty Burke〞which Betty Burke was to be Charles in disguise〞to his wife in Skye as very clever at spinning. At the moment that all was ready, General Campbell, as if suspecting something, came with a company of soldiers, and examined Clanranald's house. The prince, in his female attire, however, was concealed in a farm-house, and the next morning he and his deliverer embarked in a boat with six rowers and the servant Neil. In passing the point of Vaternish, in Skye, they ran a near chance of being all killed, for the militia rushed out and fired upon them. Luckily the tide was out, so that they were at a tolerable distance, were neither hurt, nor could be very quickly pursued. The boatmen pulled stoutly, and landed them safely at Mougstot, the seat of Sir Alexander Macdonald. Sir Alexander was on the mainland in Cumberland's army; but the young heroine had the address to induce his wife, Lady Margaret Macdonald, to receive him; and as the house was full of soldiers, she sent him to her factor and kinsman, Macdonald of Kingsburgh, in the interior of the island, who brought him to a place of safety. At last, on the 20th of September, he got on board the French vessel. Lochiel and Cluny, and about a hundred other refugees, sailed with him, and they landed at the little port of Roscoff, near Morlaix, in Finist豕re, on the 29th of September, whence Charles hastened to Paris, was received in a very friendly manner by Louis XV., and by the Parisians, when he appeared at the opera, with rapturous acclamations. However, he had come to get some comprehension of the lay of the ground and the movements of the trains by this time, and by careful watching succeeded in gathering in his boys, one after another, until he had them all but little Pete Skidmore. The opinion grew among them that Pete had unwisely tried to keep up with the bigger boys, who had jumped across the track in front of a locomotive, and had been caught and crushed beneath the wheels. He had been seen up to a certain time, and then those who were last with him had been so busy getting out of the way that they had forgotten to look for him. Si calmed Shorty down enough to get him to forget the trainmen for awhile and take charge of the squad while he went to look for Pete. He had become so bewildered that he could not tell the direction whence they had come, or where the tragedy was likely to have happened. The farther he went in attempting to penetrate the maze of moving trains, the more hopeless the quest seemed. Finally he went over to the engineer of a locomotive that was standing still and inquired if he had heard of any accident to a boy soldier during the day. "The men began it themselves," said a second voice. "They heard Yankees moving over there, and commenced shooting at them." "Sure," Dodd said, and shrugged, nearly losing his balance. He recovered, and went on as if nothing at all had happened. "They let you work for them," he said. "And what do you get out of it? Food and shelter and security, I guess. But how would you like to work for yourself instead?" TO: James Oliver Gogarty Chapter 19 They hardly ever clinched〞on the other hand, there was much plunging and rushing. Reuben brought down Realf three times and Realf brought down Reuben once. It was noticeable that if the younger man fell more easily he also picked himself up more quickly. Between the rounds they leaned exhausted against the wall, Pete prowling about between them, longing to take his father on his knee, but still resolved to see fair play. "I wish Caro or Jemmy cud meet someone like her. I d?an't think as Pete minds." He then put on the black cap and slowly commenced the sentence. The life that had seemed to have departed from the still and contracted form, rallied for a moment〞the eyes unclosed and fixed on the appalled countenance of Skipwith; and, when the concluding invocation of mercy for the soul of the criminal fell tremulously from the lips of the judge, she, in a voice low but distinct, answered "Amen!" and then a slight tremor and a faint gasp released the soul of Edith. "Man is but dust, and a breath may blow him away. I was born, Lady de Boteler, but to die; and there is not a morning, since I have abided in this dungeon, but, as I have watched the first rays of light stream through yonder grating, I have thought, shall my eyes behold the departing day! and, as well as a sinner may do, I prepared for my end. But, lady, are the thousands but as one man?〞and think you that the spirit which has gone forth〞〞" "Why do you not answer, man?" continued Sir Robert, at the same time giving De Boteler a glance, intimating that he wished not to be interrupted. "I know how many the steward promised you, but I desire to know how much you received." HoME2017珨撰a轎煤夤艘
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