Quant Mashup
Dual momentum: real portfolios and current status [RRSP Strategy]
Dual momentum with Value and Momentum factor portfolios was tested back to 1950 with 16% annual returns: What is the tracking error of real ETFs to those portfolios? Vanguard Small-Value (VBR) launched in 2004 and can underperform Value near market peaks ＃ Continue reading
Trading Google Trends with logistic regression [MKTSTK]
Recently we have highlighted the value of using social data in your analysis of the market. Earlier we showed how you could have used Google Trends to price ZNGA after its IPO. We also showed how you can monitor risk with the Twitter stream. Today we will expand upon an example where we showed how(...)
Another Wall Street Scheme: "Juicers" [Alpha Architect]
Some mutual funds purchase stocks before dividend payments to artificially increase their dividends, which we call "juicing." Funds paid more than twice the dividends implied by their holdings in 7.4% of fund-years examined. Juicing is associated with larger inflows, and is more common(...)
S&P500 Thursday - Win Rate [Stockdotnu]
Win rate for Thursday, data from 2014-01-09 until February 2015-01-29, total of 53 days in 5 min interval. First graph from every 5 min start to end, impossible to follow a specific line. Second graph from start and Europe close, third graph starts from every hour.
Portfolio Analysis in R: Part II | Analyzing A 60/40 Strategy [Capital Spectator]
In a previous post I reviewed the basics of using the PerformanceAnalytics package in R for evaluating a simple 60/40 US stock/bond portfolio based on a pair of ETFs. Let＊s round out that preliminary review by exploring a few additional applications before moving on to a deeper level of analysis(...)
State of Trend Following in January [Au Tra Sy]
The year is starting as it ended for trend following: Very strong. The index posted a first good month (over +6%). Trend Following keeps on trending up! Please check below for more details. Detailed Results The figures for the month are: January return: +6.62% Below is the chart displaying(...)
Your Alpha is My Beta [GestaltU]
A couple of weeks ago, I had the pleasure of a short correspondence with Lars Kestner, a well known quant and derivatives trader, and creator of the thoughtful K-ratio as a measure of risk adjusted performance. We connected on the definition of alpha, and how the term has been so abused in media and(...)
Forex Trading Diary #2 - Adding a Portfolio to the OANDA Automated Trading System [Quant Start]
In the last Forex Trading Diary Entry (#1) I described how to build an automated trading system that hooks into the OANDA forex brokerage API. I also mentioned that the next steps included constructing a portfolio and risk management overlay for all suggested signals generated by the Strategy(...)
RUT Iron Condor - Dynamic Exit - 38 DTE - 8 Delta [DTR Trading]
Starting with this post, and spanning the next seven or eight posts, I will show the backtest results for dynamic exits of 38 days-to-expiration (DTE) Iron Condors (IC), with different delta short strikes. In this post I wills show the results for the 8 delta short strike 38 DTE versions. For some(...)
A fourth consecutive up close for oil today would be a notable shift in trading patterns $USO [@NautilusCap]
A fourth consecutive up close for oil today would be a notable shift in trading patterns $USO
Quantitative Momentum Research: Price and Earnings Momentum [Alpha Architect]
We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk,(...)
How to Hedge Your Business [Meb Faber]
Note: I＊m holding a cover design contest for my new book out next week, feel free to enter! This is normally something I would send to The Idea Farm, but since we started the conversation here I wanted to follow up. One of the best parts of writing is getting feedback. I posted an article the(...)
State of Trend Following: Momentum Still Strong in 2015 [Wisdom Trading]
January started the year as strong 〞 if not stronger 〞 than last year for trend following. Keeping the momentum going, and profiting from a continuation in a few big trends (US Dollar Index, Energies or Swiss Bonds for instance), the index opens the year with a double-digit positive monthly(...)
Error-Adjusted Momentum Redux [CSS Analytics]
James Picerno of Capital Spectator recently did a good review of Error-Adjusted Momentum in his post ※A Momentum-Based Trading Signal with Strategic Value※. The Capital Spectator blog is rich with great content covering a diverse range of subjects from economics to asset allocation and(...)
S&P500 Tuesday - Win Rate [Stockdotnu]
in rate for Tuesday, data from 2014-01-07 until February 2015-01-27, total of 55 days in 5 min interval. First graph from every 5 min start to end, impossible to follow a specific line. Second graph from start and Europe close, third graph starts from every hour.
Largest monthly SPX loss in over a year $SPY [@NautilusCap]
Largest monthly SPX loss in over a year $SPY
January Barometer, fwiw $SPY [@NautilusCap]
January Barometer, fwiw $SPY
Fundamental Investors Following Insider Filings--Beware! [Alpha Architect]
We use a large recent sample of Form 4 insider trading filings to provide evidence on the process through which SEC filings are disseminated via EDGAR. We find that while the delay from a filing＊s acceptance by EDGAR to its initial public availability on the SEC website is relatively short, with a(...)
S&P500 每 Statistics 每 February [Stockdotnu]
Monthly statistics for the S&P500 based on the closing price between year 1950-1958 and 2014 or 1995 to 2014. In pictures, mean, median, win rate per trading day, sum %, profit factor, avg. trade %, quartiles and percentiles. Quartiles and Percentiles on monthly development, graph at top is the(...)
Is It Time to Buy Energies? [Jay On The Markets]
A quick glance at Figure 1 is enough to scare the daylights out of most sane investors.fsenx 1 Figure 1 每 SPDR Energy (ticker XLE) (Courtesy AIQ TradingExpert) Thanks primarily to Saudi Arabia＊s desire to ※boost market share§ by putting a lot of oil producers around the globe ※out of(...)
Software you lose when leaving a university: Mathematica [Walking Randomly]
I＊ve been working at The University of Manchester for almost a decade and will be leaving in just less than 3 weeks time! A huge part of my job was to support a major subset of Manchester＊s site licensed application software portfolio so naturally I＊ve made use of a lot of it over the years.(...)
Rob Hanna Will Be On TimingResearch＊s Weekly Webshow 每 1pm EST on Monday [Quantifiable Edges]
I have been asked to join a live discussion panel ?being put on by TimingResearch?. Each week, TimingResearch surveys a large group of traders to get their thoughts about current market conditions. TimingResearch then produces a report based on the survey.
Hidden Markov Models 每 Trend Following 每 Sharpe Ratio 3.1 每 Part 4 of 4 [Gekko Quant]
Part 3 of this series demonstrated how to train a HMM on a toy model, this post will focus on how to actually go about modelling real life data. A trend following strategy will be developed for trading the S&P 500. In most machine learning classification problems you need a set of training data(...)
A Look At The January Barometer [Quantifiable Edges]
The January Barometer is a fairly famous study from the Stock Traders Almanac. It says that ※as goes January, so goes the year§. In other words, a positive January will typically lead to a positive year, while a negative January can be a warning. Let＊s look at how the SPX has done for the
Ivy Portfolio February Update [Scott's Investments]
Scott＊s Investments provides a daily Ivy Portfolio spreadsheet to track the 10 month moving average signals for two portfolios listed in Mebane Faber＊s book The Ivy Portfolio: How to Invest Like the Top Endowments and Avoid Bear Markets. Faber discusses 5, 10, and 20 security portfolios that(...)
January＊s false start marks return to normal for stocks [MktStk]
We have been thinking a lot about winning streaks lately. Looking at charts of the S&P 500 index it is hard not to be impressed by how many positive monthly returns we have had since the ※resolution§ of the last full-blown Euro crisis in mid-2012. We wanted to gain some historical(...)
Comparing Flexible and Elastic Asset Allocation [QuantStrat TradeR]
So recently, I tried to combine Flexible and Elastic Asset Allocation. The operative word being每tried. Essentially, I saw Flexible Asset Allocation as an incomplete algorithm 〞 namely that although it was an excellent method for selecting securities, that there had to have been a better way to(...)
Everything Old is New Again [Meb Faber]
Reading old investment books is somewhat of a hobby of mine (I know probably need a better hobby). Glancing up on my bookshelf there are titles most have never heard of such as Once in Golconda, The Zurich Axioms, and Supermoney. I was flipping through another book new to me that I found when(...)
Manliness implies Misreporting? [Alpha Architect]
We examine the relation between a measure of male CEOs＊ facial masculinity and financial misreporting. Facial masculinity is associated with a complex of masculine behaviors (including aggression, egocentrism, risk-seeking, and maintenance of social status) in males. One possible mechanism for(...)
Off to Bad Start. Down Januaries after 3 or more up years $SPY [@NautilusCap]
Off to Bad Start. Down Januaries after 3 or more up years $SPY
End of Month down 1 pct triggered 1/30/2015 [Gambulator]
See this (In Dec, it did not actually get triggered because it was down a little less than 1 pct) End of Month down 1 pct (ish) triggered 12/31/2014
Correction to Momentum Strategy Winners [CXO Advisory]
We have corrected the Momentum Strategy winners list for January 2015 (to be held during February 2015). The third place winner was incorrect due to omission of a dividend.
A Look At Struggling ※1st Of The Month§ Bullishness [Quantifiable Edges]
Friday is the last trading day of January. The first day of the month is well known for having a seasonal bullish tendency. Interestingly, I have noted this tendency has not been prevalent over the last few years. This can be seen in the equity curve below.
Energy idiosyncratic volatility [Eran Raviv]
Recently, volatility has been on the up. Generally, we associate rising volatility with a bear regime, but we also know there is a percolating oil shock. Is the volatility we see in the stock market broad-based, or is it the effect brought about by sharp the drop in oil prices (so related to the(...)
Help on an Academic Research Project... [Alpha Architect]
Readers, I need your input for a research project. http://smeal.qualtrics.com/SE/?SID=SV_0JKTpsCsXIXnJ9H As many of you are aware, my primary passion is serving as the team leader for Alpha Architect. That said, I still conduct "serious" academic research with various colleagues in my(...)
RUT Iron Condor - Dynamic Exit Overview - 66 DTE [DTR Trading]
In this post, we will continue the work from the last post, RUT Iron Condor - Dynamic Exit Overview - 80 DTE, but this time we will look at the performance of several dynamic exits for the 66 days-to-expiration (DTE) RUT Iron Condors (IC). We are going to backtest dynamic exits on three basic IC(...)
Synthetic Volatility Index Quantified [Quantlab.co.za]
In part 1 and 2 of our volatility series I discussed a technique that I've developed to monitor broad market volatility with a Synthetic Volatility Index. Today I'm going to quantify our index by applying it to a liquid universe of equities as a simple entry filter. If volatility indeed(...)
Small-caps hanging in there $IWM [@NautilusCap]
Small-caps hanging in there $IWM
Dual momentum with Value and Momentum factor portfolios [RRSP Strategy]
Dual Momentum is a robust portfolio allocation tool. Relative 12 month returns are used to rank assets. Shelter is sought in a safe asset when 12 month absolute returns fall below a threshold. Gary Antonacci describes Global Equities Momentum using US ＃
Predict Stock Returns Using the TREND of Profitability [Alpha Architect]
This study shows that the recent trajectory of a firm＊s profits predicts future profitability and stock returns. The predictive information contained in the trend of profitability is incremental beyond that provided by the profit level, and it is not subsumed by other well-known determinants of(...)
Machine Learning in Finance Workshop [Only VIX]
The Data Science Institute at Columbia University and Bloomberg are holding a workshop on Machine Learning in Finance. The presentations look interesting and the price is right - just $30 if you have a valid student ID, or $100 if you don't. Some research articles are already available for(...)
Trading stock splits [Alvarez Quant Trading]
Trading stock splits is something that I have read about for long time but never researched. This article, A simple way to beat the market with stock splits, caught my eye and gave me the push to investigate the topic. This falls into the category of a topic I have heard a lot about that ＃
A Revelation For Small-Cap Investing Strategies [Capital Spectator]
Suddenly business as usual for small-cap investing is in need of a makeover, thanks to a new research paper (a landmark study for asset pricing) that revisits, reinterprets and ultimately revives the case for owning these shares 〞 after controlling for quality, i.e., ※junk§. Cliff Asness of(...)
Fed Days After 1% Drops [Quantifiable Edges]
Selloffs as strong as we saw on Tuesday have been fairly rare just ahead of a Fed Day. In fact it was the 1st time since October 2012 that SPY closed down over 1% on the day before a Fed Day. Below are results of all instances since SPY＊s inception in 1993.
Applied Portfolio VaR Decomposition. (2) Impact vs Moving Elements. [Quant at Risk]
Calculations of daily Value-at-Risk (VaR) for any N-asset portfolio, as we have studied it already in Part 1, heavily depend on the covariance matrix we need to estimate. This estimation requires historical return time-series. Often negligible but superbly important question one should ask here is:(...)
Does "Sharpe Parity" work better than "Risk Parity?" [Alpha Architect]
Strategies employing Risk Parity have been favored by mutual funds and other market participants the past few years. The attraction of risk parity strategies is the great story associated with the approach and the historical performance over the past 30 years has been favorable. However, there is an(...)
Consolidated Source of Data for Bitcoin [Tr8dr]
It seems like every other month there is a new bitcoin exchange. For the purposes of trading research & backtesting it is important to have historical data across, at least, the most liquid exchanges. My list would be at least: USD/BTC bitfinex (15%) bitstamp (5%) coinbase (new, but likely to(...)
Review of Global Market Correlations: 1995-2014 [Oxford Capital]
We reviewed market correlations for eight core groups: (a) Equities, (b) Interest Rates, (c) Currencies, (d) Energy, (e) Metals, (f) Grains & Oilseeds, (g) Livestock, (h) Softs & Woods. Setup: Market Returns = ln(Close[n] / Close[n ? LookBack]), where LookBack = 10 bars. Correlation window(...)
Down January Pressures February $SPY $QQQ $DIA [Stock Trader's Almanac]
In pre-election years, February＊s performance generally improves with average returns all turning positive. NASDAQ performs best, gaining an average 2.4% in pre-election-year Februarys since 1971. Russell 2000 is second best, averaging gains of 2.1% since 1979. DJIA, S&P 500 and Russell 1000,(...)
Volatility Risk Premium Strategy 每 And The (Preliminary) Outperformer Is... [Trading the Odds]
A couple of weeks ago I started a series of postings, all dealing with trading volatility ETNs / ETFs like XIV? (VelocityShares Daily Inverse VIX Short-Term ETN) and VXX (iPath? S&P 500 VIX Short-Term Futures? ETN) and respective trading strategies. One of those strategies was DDN＊s VRP(...)
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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