Quantocracy’s Daily Wrap for 11/28/2018

This is a summary of links featured on Quantocracy on Wednesday, 11/28/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Stiffness Indicator Analysis [Alvarez Quant Trading]

    A reader pointed me the November 2018 issue of Technical Analysis of Stocks & Commodities to an article about a trend following indicator on S&P500 stocks. I liked the concept of the indicator and the article had backteted results and AmiBroker code. How could I resist not looking into this? Little did I realize this would lead to Backtesting is Hard and How much does not having
  • Deep Reinforcement Trading [Quant Dare]

    Deep Reinforcement Learning applications in finance are still largely unknown. Nonetheless, recent developments in other fields have pushed researchers towards exciting new horizons. I believe that there is a huge potential for Reinforcement Learning in finance. As investment guru Ray Dalio, founder of Bridgewaters, defends in his book Life and Work Principles, investment is an iterative process.
  • When SPX Closes Higher On Bad Breadth [Quantifiable Edges]

    While the SPX closes higher on Tuesday, NYSE breadth was weak both from an % Up Issues and % Up Volume standpoint. This triggered the study below from the Quantifinder. I also discussed it in last nights subscriber letter. 2018-11-28-1 Here we see numbers suggesting a substantial bearish edge over the next 1-4 days. Below is the full list of instances and their 4-day returns. 2018-11-28-2

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