Quant Mashup
Crude Oil Usually Posts Major Seasonal Low Soon $CL_F $USO [Stock Trader's Almanac]
Crude oil has a tendency to bottom in mid-February and then rally through July (highlighted in yellow in second chart below). It is that early February low that can give traders an edge by buying ahead of a seasonally strong period. Going long crude oil¡¯s July contract on or about February 13 and(...)
Sneak Peek: Python for Quants. Volume I [Quant at Risk]
The first professional book on Python programming is coming up very soon! Designed around Quants, Risk Analysts, and Algorithmic Traders in mind, Volume I of Python for Quants will deliver all what is essential to start coding in Python straight away! For more details and sneak peek click here:
Non-linear Twists in Stock & Bond Correlation [Alphaism]
Stocks and bonds are negatively correlated. Translation: they must move against each other most of the time. Because intuitively, stocks bear higher risk than bonds so investors go to stocks when they want to take more risks and flee to bonds when they feel a storm is coming. Plus the numbers tell(...)
The Most (Not) Hated Bull Market [Meb Faber]
I look forward to reading Leuthold?€?s Green Book every month and the most recent one was great. I asked permission to share the following study as I thought it was revealing. They looked at sentiment levels as published by Investor?€?s Intelligence ?€¡° specifically they averaged(...)
January Expiration Week Stormy Last 16 Years $SPY $DIA $QQQ [Stock Trader's Almanac]
Over the past thirty-two years, since 1983, the S&P 500?€?s performance during January?€?s option expiration week has been essentially a mixed bag. Monday has been up 18 of the last 32 years, Friday is similar; up 16 and down 16, and the entire week has been down roughly three times(...)
The One Factor To Save Them All--Leverage [Alpha Architect]
Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities(...)
Interviewing the Quants: An Inside Look With ?€?Sanz Prophet?€? [Godel's Market]
Our first guest for the ?€?Interviewing the Quants?€? series is Vangelis Maderakis. Many of you probably know him as Sanz Prophet through the eponymous blog (sanzprophet.blogspot.com). Recently, he became a partner at Logical Invest, a successful business dedicated to logical, rules based(...)
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(...)
SPX Iron Condor Comparisons [DTR Trading]
In this post we will look at the backtest results (summary statistics) for the three versions of the SPX "no touch" Iron Condor (IC) trades. The three versions tested were: Standard: 10 put credit spreads, and 10 call credit spreads Delta Neutral: 10 put credit spreads, and from 5 to 10(...)
Supervised Learning for Document Classification with Scikit-Learn [Quant Start]
This is the first article in what will become a set of tutorials on how to carry out natural language document classification, for the purposes of sentiment analysis and, ultimately, automated trade filter or signal generation. This particular article will make use of Support Vector Machines (SVM)(...)
Volatility of Average [Only VIX]
Different commodity including some volatility and bitcoin futures settle to an average value. For example VSTOXX settles to 1 minute sampled average value of the index in the last half hour of trading, Bitmex XBT/USD futures settle to 1 minute sampled average value of the last two hours of trading,(...)
Adding a Risk-Free Rate To Your Analyses [QuantStrat TradeR]
First off, before beginning this post, I?€?d like to make my readers aware of the release of a book that I contributed almost an entire chapter for. Quantitative Trading With R is a primer on quantitative trading in R written by Harry Georgakopoulos, one of Chicago?€?s better quants. I(...)
Quantitative Momentum Research: Long-Term Return Reversal [Alpha Architect]
Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to ?€?overreact?€? to unexpected and dramatic news events. This study of market efficiency investigates whether such behavior affects stock prices. The empirical evidence, based on CRSP(...)
Crash-Protecting Your Portfolio With CrashMetrics [Jonathan Kinlay]
In a post on LinkedIn I referred to the concept of CrashMetrics and how it can be used for portfolio protection. It?€?s a simple approach to the management of extreme risk that works rather well. It can be summarized as ?€?CAPM for crashes?€?. Here?€?s how it works. Let?€?s(...)
S&P500 Year Cycle [Stockdotnu]
ear cycle for S&P500 and the top graph shows mean and median for year 1957 to 2014, the second graph is from 2000 to 2014. The graph is marked with year trading days from 1 to 249.
Employment Report Overnight Futures Returns Since August 2012 [Overnight Edges]
I have shown the study below a several times in the last year or so, but not since September, and the employment night hot streak remains strong. The overnight futures market has been loving the Employment Report since the summer of 2012. The Employment Report is released at 8:30 AM Eastern(...)
Monthly ETF Rotation System Rules & Results - $SCHH, $IYR, $TLO, $SPY [Theta Trend]
As some of you know, I recently began trading two monthly ETF Rotation Systems. One is a Basic ETF Rotation system that trades a diverse group of markets and the other covers similar markets using Schwab Commission Free ETF?€?s. The Basic System is intended to take the place of the ETF Portion(...)
Dow 20,000: Is 2015 the Year? [GestaltU]
It¡¯s that time of year again. Yup, that jolly, happy time of year when the soothsayers of Wall Street start trumpeting their views on what¡¯s going to happen in 2015, and how to position portfolios to profit. Esteemed Wharton professor, Jeremy Siegel, author of the permabull bible, Stocks for the(...)
Trading with Estimize and I/B/E/S earnings estimates data [EP Chan]
By Yang GaoEstimize is an online-community utilizing 'wisdom of crowds' to offer intelligence about market. It contains a wide range of crowd-sourced estimates from over 4,500 buy-side, sell-side and individual analysts. Studies (from Deustche Bank and Rice University among others) show(...)
A Century of Generalized Momentum [GestaltU]
We enjoy collaborating on new research projects simply because nobody has a monopoly on interesting ideas. Where our expertise in asset allocation, tactical strategies and portfolio optimization methods might prove useful, we are always open to discussing new and ongoing research.
State of Trend Following in December 2014 [Au Tra Sy]
A Combination Of Factors Suggesting A Bounce [Quantifiable Edges]
There were a number of Quantifinder studies yesterday that looked at SPY and/or SPX making short-term lows, closing down 3+ days in a row, and/or leaving unfilled gaps down. The study below it combined all of these ideas.
What Happens After A Big Down Day Between Christmas & New Years [Quantifiable Edges]
As I discussed last week, the time between Christmas and New Year¡¯s tends to be a very strong seasonal period. (And even through the 1st or 2nd trading day in January). Wednesday was only the 11th time since 1960 that SPX fell greater than 1% on a day during this week.
¡®Twas 3 Nights Before Christmas ¨C NASDAQ version [Quantifiable Edges]
I¡¯ve been posting and updating the ¡°Twas 3 Nights Before Christmas¡± study on the blog here since 2008. The study will kick in at today¡¯s close. This year I will again show the Nasdaq version of the study. While all the major indices have performed well during this period, the
Trend Following Wizards ¨C Strong November, Strong 2014 [Au Tra Sy]
One of the best months of the year for our Trend Following Wizards. Not so surprisingly after the strong performance of the State of Trend Following Index (nearing +10% return for November).
Day of month pattern or luck for a monthly ETF rotation strategy? [Alvarez Quant Trading]
From my post on Heikin-Ashi Charts, another researcher wrote Luck: The Difference Between Hired or Fired about how luck of the draw could account for the difference in returns depending on the starting date. This is a completely valid question. Are three better returns for a strategy in a particular(...)
The Bullish Intermediate-Term Tendency Following High CBI Readings [Quantifiable Edges]
I¡¯ve written an awful lot about the Quantifiable Edges Capitulative Breadth Indicator (CBI) here on the blog. The CBI moved up from 8 to 12 on Tuesday. While 10 has been a strong indication for a short-term bounce, 11 or higher has been a reliable indication for the
Measuring Tactical Alpha, Part 2 [GestaltU]
When we left off in Part 1, we promised to examine how select Global Tactical Asset Allocation products stack up against the Global Market Portfolio from the perspective of several performance measures ¨C particularly Sharpe ratio, alpha and information ratio. Without further adieu:
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?¡ªbefore 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¡ªwhich Betty Burke was to be Charles in disguise¡ªto 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¨¨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¡ªon 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¡ªthe 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?¡ªand think you that the spirit which has gone forth¡ª¡ª" "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." HoME2017Ò»¼¶aÃâ·Ñ¹Û¿´
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