Quantocracy’s Daily Wrap for 12/05/2018

This is a summary of links featured on Quantocracy on Wednesday, 12/05/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Portfolio construction through handcrafting: motivating [Investment Idiocy]

    I've talked around a type of portfolio construction called "Handcrafting" for some time now, in both of my first two books, and in the odd blog post. I thought it would be useful to explain how the technique works in a more thorough and complete series of blog posts, and also share some code that implements the method. I intend to do four posts on this topic. The first, which you
  • The Emotional Quant Curve [Alvarez Quant Trading]

    While writing my presentation for TradersFest 2018, I wanted to add the traders emotional curve. But looking at it closer, it did not capture my feelings as I go through the cycle of up and downs of trading a strategy. Here is my curve. I have been on every part of this curve multiple times. October and November caused several strategies to go into the red part of the curve. The top box of the
  • MACD: Moving Average Convergence Divergence (Part 1) [Oxford Capital]

    I. Trading Strategy Developer: Gerald Appel. Source: Appel, G. (2005). Technical Analysis. NJ: Pearson Education, Inc; Star, B., PhD (2016). Zero In On The MACD. Stocks & Commodities, May 2016. Concept: Trend following trading strategy based on the MACD (Moving Average Convergence Divergence) line. Research Goal: Performance verification of momentum signals. Specification: Table 1. Results:
  • A Portfolio of Leveraged Exchange Traded Funds vs. Benchmark Asset Allocation [Quantpedia]

    A new interesting financial research paper gives an idea to build a diversified portfolio of leveraged ETFs (scaled down to have the same risk as a benchmark asset allocation built from a non-leveraged ETFs) to beat benchmark asset allocation. However, caution is needed as the most of the outperformance is due to inherent leveraged position in bonds because excess ratio of cash in portfolio (which

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