epchan.blogspot.com
Quantitative Trading: November 2014
http://epchan.blogspot.com/2014_11_01_archive.html
Quantitative investment and trading ideas, research, and analysis. Friday, November 14, 2014. Rent, don’t buy, data: our experience with QuantGo (Guest Post). Earlier this year we needed to update our data and discovered that Nanex prices had increased significantly. We also needed quotes and trades, and data for more asset classes including US equities and options. Where you have unlimited access to years of global tick or bar data for a fixed monthly subscription fee per data service. 09:30:00.500,...
epchan.blogspot.com
Quantitative Trading: Moving Average Crossover = Triangle Filter on 1-Period Returns
http://epchan.blogspot.com/2014/09/moving-average-crossover-triangle.html
Quantitative investment and trading ideas, research, and analysis. Friday, September 05, 2014. Moving Average Crossover = Triangle Filter on 1-Period Returns. That's because it leads us to consider other, more sophisticated filters (such as the least square, Kalman, or wavelet filters) as possible momentum indicators. In collaboration with my former workshop. Participant Alex W. who was inspired by this paper. By Bruder et. al. We present the derivations below. MA(t, n1)=(y(t) y(t-1) . y(t-n1 1) /n1.
epchan.blogspot.com
Quantitative Trading: Rent, don’t buy, data: our experience with QuantGo (Guest Post)
http://epchan.blogspot.com/2014/11/rent-dont-buy-data-our-experience-with.html
Quantitative investment and trading ideas, research, and analysis. Friday, November 14, 2014. Rent, don’t buy, data: our experience with QuantGo (Guest Post). Earlier this year we needed to update our data and discovered that Nanex prices had increased significantly. We also needed quotes and trades, and data for more asset classes including US equities and options. Where you have unlimited access to years of global tick or bar data for a fixed monthly subscription fee per data service. 09:30:00.500,...
epchan.blogspot.com
Quantitative Trading: Commitments of Traders (COT) strategy on soybean futures
http://epchan.blogspot.com/2015/02/commitments-of-traders-cot-strategy-on.html
Quantitative investment and trading ideas, research, and analysis. Saturday, February 28, 2015. Commitments of Traders (COT) strategy on soybean futures. In our drive to extract alphas from a variety of non-price data, we came across this old-fashioned source: Commitments of Traders (COT) on futures. This indicator is well-known to futures traders since 1923 (see www.cmegroup.com/education/files/COT FBD Update 2012-4-26.pdf), but there are often persistent patterns (risk factors? Since we only have histo...
epchan.blogspot.com
Quantitative Trading: July 2015
http://epchan.blogspot.com/2015_07_01_archive.html
Quantitative investment and trading ideas, research, and analysis. Thursday, July 02, 2015. Time series analysis and data gaps. You can see that the statistics of return bars over weekdays can differ significantly from those over weekends and holidays. Here is a table of comparison for SPY daily returns from 2005/05/04-2015/04/09:. Mean Absolute Returns (bps). Kurtosis (3 is “normal”). The problem is, of course, much worse if we attempt time series analysis on intraday bars. Not only are we faced wit...
shorecapmgmt.com
Shore Capital Research LLC - Mkt Notes
http://www.shorecapmgmt.com/mkt-notes.html
Skewing Your Diversification (The Show). Parking Spaces for Sale or Rent. Condos for Sale or Rent. Market Timing, Big Data and Machine Learning. The Chicago Chapter of QWAFAFEW Presents:. Market Timing, Big Data and Machine Learning. Chairman, Hull Investments, LLC. Assistant Professor of Finance at the Illinois Institute of Technology and the founder of Quiota LLC. Thursday, September 22, 2016. 5:00 pm - 7:00 pm. To be announced shortly in downtown Chicago. For more information and registration. A one a...
ravenrock.weebly.com
Ravenrock Capital.LLC - Blog
http://ravenrock.weebly.com/blog.html
January 24th, 2016. The thing is, what has mostly led to our positive performance has been the Yuan devaluation, which has only just begun in our eyes. There is much more downside in their currency to come as they try to help their economy navigate the inevitable slowdown from the heady days of the last 20 years. Who can blame them? Aimed Capital proprietary currency model. Japan vs. USD. Here is how 1937 played out. Not so nice. Source: Bloomberg chart of the S&P 500 1934 till 1938. Hedge Fund Tracking:...
epchan.blogspot.com
Quantitative Trading: An update on why quantitative funds are losing money recently
http://epchan.blogspot.com/2007/08/update-on-why-quantitative-funds-are.html
Quantitative investment and trading ideas, research, and analysis. Monday, August 13, 2007. An update on why quantitative funds are losing money recently. A story just came through Dow Jones newswire ("How Black Boxes Became Pandora's Boxes" by Spencer Jakab) suggesting that recent losses are due to factor models gone bad. Given my expressed distaste. For such models, that should have been my first guess instead of blaming the "exotic" models! Posted by Ernie Chan. Subscribe to: Post Comments (Atom).
epchan.blogspot.com
Quantitative Trading: September 2014
http://epchan.blogspot.com/2014_09_01_archive.html
Quantitative investment and trading ideas, research, and analysis. Friday, September 05, 2014. Moving Average Crossover = Triangle Filter on 1-Period Returns. That's because it leads us to consider other, more sophisticated filters (such as the least square, Kalman, or wavelet filters) as possible momentum indicators. In collaboration with my former workshop. Participant Alex W. who was inspired by this paper. By Bruder et. al. We present the derivations below. MA(t, n1)=(y(t) y(t-1) . y(t-n1 1) /n1.
epchan.blogspot.com
Quantitative Trading: April 2015
http://epchan.blogspot.com/2015_04_01_archive.html
Quantitative investment and trading ideas, research, and analysis. Monday, April 13, 2015. Beware of Low Frequency Data. This post is based on the talk of the same title I gave at Quantopian's NYC conference. Which commenced at 3.14.15 9:26:54. Do these numbers remind you of something? The authors are irreproachable for their use of high quality price data provided by CRSP. Where can we find historical official closing price? Will rent us tick data that has a Cross flag for the closing auction trade....
SOCIAL ENGAGEMENT