Quant Mashup

Factors driving this year's SP500 performance $SPY [@NautilusCap]

Factors driving this year's SP500 performance $SPY

After Monday��s Big Effort For A Small Gain [Quantifiable Edges]

The mild action on Monday did not trigger a whole of studies Monday afternoon but the one below was fairly compelling. It suggests that when SPY closes strong (in the top 10% of its range) but still only manages a small gain on the day, that the next day has a downside tendency.

Interviewing the Quants: An Inside Look With ��Sanz Prophet�� [Sanz Prophet]

Interviewing the Quants: An Inside Look With ��Sanz Prophet��

European Surge [@NautilusCap]

European Surge

Stock Market and the Super Bowl [CXO Advisory]

Investor mood may affect financial markets. Sports may affect investor mood. The biggest mood-mover among sporting events in the U.S. is likely the National Football League��s Super Bowl. Is the week before the Super Bowl especially distracting and anxiety-producing? Is the week after the Super(...)

A Simple Tactical Asset Allocation Portfolio with Percentile Channels [CSS Analytics]

I prefer presenting new tools and concepts, but I know that there are a lot of readers that would like to see how they can be applied to creating strategies. So here is a very simple strategy that applies Percentile Channels from the last post to a tactical asset allocation strategy. The strategy(...)

A Momentum-Based Trading Signal With Strategic Value [Capital Spectator]

Traders and investors tend to operate in parallel universes, using different analytical toolkits and looking at markets from radically different perspectives. But sometimes there��s common ground. David Varadi��s recent investigation of what he calls error-adjusted momentum (EAM) to normalize(...)

RUT Iron Condor - Dynamic Exit Overview - 80 DTE [DTR Trading]

It has taken a long time to get to this point, but we are finally finished reviewing the backtests for our three basic starting structures for the Iron Condor (IC). The three basic starting structures backtested were: Standard: 10 put credit spreads, and 10 call credit spreads (72 total backtests /(...)

A New Harry Long Strategy and A Couple of New PerfA Functions [QuantStrat TradeR]

So, Harry Long came out with a new strategy on SeekingAlpha involving some usual mix of SPXL (3x leveraged SPY), TMF (3x leveraged TLT), and some volatility indices (in this case, ZIV and TVIX). Now, since we��ve tread this path before, expectations are rightfully set. It��s a strategy that��s(...)

Update to MKTSTK��s first book release: Intro to Social Data for Traders [MKTSTK]

We wanted to provide an update to everyone who signed up for a free copy of MKTSTK��s first book, Intro to Social Data for Traders by our very own Thomas Pendergrass. This book is intended for traders and investors that want to gain an edge on the competition by including social media and search(...)

Do Any Style ETFs Reliably Lead or Lag the Market? [CXO Advisory]

Do any of the various U.S. stock market size and value/growth styles systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we consider the the following six exchange-traded funds (ETF) that cut across capitalization (large, medium(...)

Weekend Geekout: The History of Low Volatility Investing [Alpha Architect]

Eric Falkenstein is an economist, with a PhD in economics, a quantitative geek, and a book writer. In his blog, Falkenblog, there are voluminous mind-blowing articles since 2008, which definitely worth your time to read. Recently he posted an article about the history of Low Volatility Investing and(...)

Engineering a Synthetic Volatility Index �C Part 2 [Quantlab.co.za]

In last week's post I discussed two basic requirements for our proposed synthetic index: 1) it must accept price as its sole input for its calculation and 2) it must exhibit a high correlation with the VIX when applied to the S&P 500. An indicator that satisfies both of these requirements(...)

The Long-Suffering ��Average�� Investor [Capital Spectator]

Earning a respectable investment is hard. Holding it on to it is even harder, according to a variety of studies over the years that have analyzed the portfolios that investor build and own. The news is at once disturbing and baffling. Disturbing because a large population of individuals have earned(...)

Style Performance by Calendar Month [CXO Advisory]

The Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior since 1950. How much do the corresponding monthly behaviors of the various size and value/growth styles deviate from an overall(...)

Dual momentum without the benefit of the bond bull market [RRSP Strategy]

Dual momentum, popularized by Gary Antonacci, uses 12 month returns to: rank and select the top asset (RELATIVE) shelter in a safer asset if the absolute value falls below a threshold (ABSOLUTE) Many tactical strategies use bonds as the safer ��

Why Indexing and "Smart Beta" Are So Popular [Alpha Architect]

We study the joint determination of fund managers' contracts and equilibrium asset prices. Because of agency frictions, investors make managers' fees more sensitive to performance and benchmark performance against a market index. This makes managers unwilling to deviate from the index and(...)

Analysis of S&P 500 Returns Above & Below The 200 Day SMA $SPY $SPX [Theta Trend]

The 200 day SMA is a widely watched indicator of health for the U.S. Stock market. When price is trading above the 200 day SMA, most market participants can agree that a longer term up-trend is either in place or developing. When price is trading below the 200 day SMA, most people recognize that the(...)

Do Any Sector ETFs Reliably Lead or Lag the Market? [CXO Advisory]

Do any of the major U.S. stock market sectors systematically lead or lag the overall market, perhaps because of some underlying business/economic cycle? To investigate, we examine the behaviors of the nine sectors defined by the Select Sector Standard & Poor��s Depository Receipts (SPDR), all(...)

Sector Performance by Calendar Month [CXO Advisory]

The Trading Calendar presents full-year and monthly cumulative performance profiles for the overall stock market (S&P 500 Index) based on its average daily behavior since 1950. How much do the corresponding monthly behaviors of the various stock market sectors deviate from an overall market(...)

Percentile Channels: A New Twist On a Trend-Following Favorite [CSS Analytics]

One of the most widely used trend-following approaches are Donchian Channels which were popularized by the famous ��Turtle Traders.�� In fact, it was the subject of Donchian Channels that started my collaboration with Corey Rittenhouse with the popular post Percent Exposure Donchian Channel(...)

And the Winner Is... [Dual Momentum]

Until recently, the longest back test using stock market data was Geczy and Samonov��s 2012 study of relative strength momentum called ��212 Years of Price Momentum: The World��s Longest Backtest: 1801-2012��. The length of that study has now been exceeded by an 800 year backtest of trend(...)

Forex Trading Diary #1 - Automated Forex Trading with the OANDA API [Quant Start]

I previously mentioned in the QuantStart: 2014 In Review article that I would be spending some of 2015 writing about automated forex trading. Given that I myself usually carry out research in equities and futures markets, I thought it would be fun (and educational!) to write about my experiences of(...)

An Introduction to Change Points (packages: ecp and BreakoutDetection) [QuantStrat TradeR]

A forewarning, this post is me going out on a limb, to say the least. In fact, it��s a post/project requested from me by Brian Peterson, and it follows a new paper that he��s written on how to thoroughly replicate research papers. While I��ve replicated results from papers before (with FAA and(...)

DAX Leadership could signal Europe outperformance [Nautilus Research]

DAX Leadership could signal Europe outperformance

The Rise Of Factor Investing And The Implications For Asset Allocation [Capital Spectator]

Once upon a time there was only one factor��the market, a la the capital asset pricing model. But after a half century of crunching the numbers since CAPM was born, ��now we have a zoo of new factors,�� as Professor John Cochrane observed a few years ago. In theory, identifying more factors opens(...)

Frequent Trading + Optimistic Analyst Recommendations = Significant Misvaluations! [Alpha Architect]

This paper empirically studies how the interaction between short-term investors and analyst recommendations is related to a speculative component in stock prices. Using a new measure of the holding duration of institutional investors (called Stock Duration), we document that frequently traded stocks(...)

A Time for Crude and a Time, um, Not for Crude? [Jay On The Markets]

I like to think of myself as a creative, independent thinker. Of course I��d also like to think of myself as handsome, charming and witty and look how that��s worked out. But I digress. Anyway, on my Twitter feed last week I posted a link to a piece from Stock Trader�� Almanac regarding a(...)

No Other Month Can Match January��s Predicative Prowess $SPY [Stock Trader's Almanac]

For the accompanying table we went back to 1938 for the S&P 500 and the Dow �� the year in which the January Barometer came to life �� and back to 1971 for NASDAQ when that index took its current form. The accuracy ratios listed are based on whether or not the given month��s move �� up or(...)

Portfolio Analysis in R | A 60/40 US Stock/Bond Portfolio [Capital Spectator]

How��s that rebalancing strategy working out for ��ya? Results will vary, of course, depending on when we run the analysis, the architecture of the strategy, and a number of other variables. Deciding if the results are satisfying or disappointing could be due to any number of factors, such as the(...)

Graham Value Stock Portfolio January Update [Scott's Investments]

In January 2012 I announced a new portfolio, a Benjamin Graham ��inspired�� value stock portfolio. The Graham portfolio is an attempt to add a value strategy to Scott��s Investments, which is otherwise focused on momentum, trend, income and market timing strategies. The portfolio tracks ret

A Few Notes on A Random Walk Down Wall Street [CXO Advisory]

In the preface to the eleventh (2015) edition of his book entitled A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing, author Burton Malkiel states: ?�?The message of the original edition was a very simple one: Investors would be far better off buying and holding(...)

Timing (And Trading) Implied Volatility [Trading the Odds]

The majority of readers will already be familiar with the fact that the CBOE Volatility Index? (VIX?) is not a tradable asset (it is just a number), and trading the VIX? in fact means trading its derivatives (futures) or even derivatives of derivatives (options on futures, ETFs/ETNs like XIV?(...)

RUT Iron Condor Equity Curve Comparison - 66 DTE [DTR Trading]

In this post we will look at the equity curves for the three versions of the RUT "no touch" Iron Condor (IC) trades at 66 days to expiration (DTE). The three versions tested were: Standard: 10 put credit spreads, and 10 call credit spreads Delta Neutral: 10 put credit spreads, and from 5(...)

Applied Portfolio VaR Decomposition. (1) Marginal and Component VaR. [Quant at Risk]

Risk. The only ingredient of life that makes us growing and pushing outside our comfort zones. In finance, taking the risk is a risky business. Once your money have been invested, you need to keep your eyes on the ball that is rolling. Controlling the risk is the art and is the science: a(...)

RTV and REY Model Updates [CXO Advisory]

We have updated the details of the Reversion-to-Value (RTV) Model and the Real Earnings Yield (REY) Model of the U.S. stock market to incorporate data for 2014.

An Update On EAA and a Volatility Strategy [QuantStrat TradeR]

Again, before starting this post, I��d like to inform readers that the book Quantitative Trading With R, written by Harry Georgakopoulos, with contributions from myself, is now available for order on Amazon. Already, it has garnered a pair of five-star reviews, and it deals not only with(...)

Gross margin peak for INTC spells trouble for Semis $SMH [Nautilus Research]

Gross margin peak for INTC spells trouble for Semis $SMH

Trend Following Wizards close 2014 on a High [Au Tra Sy]

Collectively, the Wizards added another good month to an already very good 2014 (the come-back year for trend following). A near-100% of positive results for the year, with an average just shy of +25% and a handful of strong performers.

End of Month Strategy in S&P 500 �C Update [Quantified Strategies]

In July 2012 I published a strategy about an end of month strategy in S&P 500. Here are the criterias: Entry: Day 29, 30 or 31 of the month must be negative. Then enter on close. Exit: Two successive positive closes in a row, OR SPY hits a 1% target. (no stops). Here are the results from 2005(...)

A Computational perspective on Real GDP Growth (Part 1) [Stuart Reid]

Before I get into the meat of this article, I wanted to share some of my thoughts regarding this blog. Over the past few months the site has undergone many changes in the front and back end. The site has a more professional theme, mail subscriptions have been moved to a third party with more(...)

Quantitative Value @ $19.99 is Back On!!! [Alpha Architect]

Hi everyone! I am happy to announce that our book shipment has arrived and Quantitative Value is back on the market at $19.99! We ordered 760 copies, but our daily sales have really accelerated as of late, so don't wait to grab a copy. David wasn't smiling this much when we were hand(...)

Schwab Commission Free ETF Rotation System Backtest $SPY, $TLO, $PCY, $RWO, $SHY [Theta Trend]

I��ve been doing a lot of writing about Momentum Based ETF Rotation Systems lately and for good reason. The systems are low maintenance and have historically provided a good return in a variety of market conditions. In this post we��re going to look at backtest results for the Schwab Commission(...)

What Wednesday��s Partial Recovery Hints At For Thursday [Quantifiable Edges]

One thing that stood out about Wednesday��s action was that the market closed down but still enjoyed a strong reversal of the lows. In the study below I combined the multi-day pullback concept with the fact that the market saw a relatively strong close.

Using 52-week highs in a S&P500 monthly rotation strategy [Alvarez Quant Trading]

One area of recent interest for me is trading rotational strategies on a monthly timeframe using S&P500 stocks and ETFs. Areas of exploration include Momentum and Dual Momentum. Recently I came across The Secret to Momentum is the 52-Week High??? on Alpha Architect, a blog I highly recommend on(...)

Quantitative Momentum Research: Short-Term Return Reversal [Alpha Architect]

Predictable variation in equity returns might reflect either (1) predictable changes in expected returns or (2) market inefficiency and stock price "overreaction." These explanations can be distinguished by examining returns over short time intervals since systematic changes in fundamental(...)

Notes From Academia: Exercise Boundary Violations in American-Style Options [Only VIX]

Notes From Academia: Exercise Boundary Violations in American-Style Options Here is the link to the research paper - Exercise Boundary Violations in American-Style Options: The Rule, not the Exception Abstract: An exercise boundary violation (EBV) occurs when the current bid price for an American(...)

RUT Iron Condor Equity Curve Comparison - 80 DTE [DTR Trading]

In this post we will look at the equity curves for the three versions of the RUT "no touch" Iron Condor (IC) trades at 80 days to expiration (DTE). The three versions tested were: Standard: 10 put credit spreads, and 10 call credit spreads Delta Neutral: 10 put credit spreads, and from 5(...)

Downloading Option Chain Data from Google Finance in R: An Update [Exegetic Analytics]

I recently read an article which showed how to download Option Chain data from Google Finance using R. Interestingly, that article appears to be a close adaption of another article which does the same thing using Python. While playing around with the code from these articles I noticed a couple of(...)