Quantocracy’s Daily Wrap for 01/30/2019

This is a summary of links featured on Quantocracy on Wednesday, 01/30/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • SPY TLT Rotation [Alvarez Quant Trading]

    For my retirement accounts, I like to trade ETF strategies that require little work. One strategy we have all seen is the SPY/TLT strategy. There are many flavors of this concept. Some pick the best one over the last N months. Then there are different ways of allocating a portion of the portfolio to each. I currently dont trade any SPY/TLT strategy and wanted to see if there was something
  • Can a Machine Learning Model Predict the SP500 by Looking at Candlesticks? [Mario Filho]

    Candlestick chart patterns are one of the most widely known techniques that claim to predict the market direction inside technical analysis circles. The development of this technique goes back to 18th century Japan, and its attributed to a Japanese rice trader. It consists of finding patterns based on charts made of the above figure with prices over a period of time. There are many
  • Marcos Lopez de Prado named 2019 Quant of the Year by Journal of Portfolio Management [Mathematical Investor]

    Marcos Lopez de Prado, a member of Mathematicians Against Fraudulent Financial and Investment Advice (MAFFIA), has been named 2019 Quant of the Year by Journal of Portfolio Management. Here are some excerpts from their press release: The Journal of Portfolio Management (JPM) has named Marcos Lopez de Prado 2019 Quant of the Year. JPM has instituted the annual Quant of the Year
  • Where is the Value? [Factor Investor]

    Investors always want to know whats cheapcheap relative to the opportunity set and relative to history. Cheapness could refer to any number of thingsprice relative to trailing twelve months earnings, to trailing earnings over multiple years, to analyst earnings estimates, to long-run projections, or a dozen other variations based on sales, cash flows, book value, etc. Because analyst

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