Tag Archives: 2017

Bitcoin, Bubbles and Tech: Google Top Finance Searches of 2017

Bitcoin, Bubbles and Tech: Google Top Finance Searches of 2017

Here they are to reveal what people looked for

https://www.bloomberg.com/news/articles/2017-12-20/bitcoin-tech-stocks-and-xi-top-2017-google-financial-searches

 

https://trends.google.com/trends/explore?q=crypto%20currency

Extract Google Trends Data with Python

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Award – Best Quant Paper 2017

 

Savvy Investor curates the best pensions and investment white papers from around the world. Having uploaded more than 20,000 papers since launch, they have a unique platform from which to host these Awards. The Savvy Investor Awards are judged on the basis of the quality and readability of the paper and its appeal to their institutional investor audience.

 

To view the full awards announcement, across 15 categories, visit the Savvy Investor Awards page.

WINNER: AQR Capital Management

Embracing Downside Risk

Equity index option pricing is examined in detail in this paper. The authors conclude that most of the empirical equity risk premium relates to compensation for taking on downside risk; therefore, downside risk is something to be embraced.

HIGHLY COMMENDED

Adding Alpha by Subtracting Beta: A Case Study on how Quant Tools can Improve a Portfolio’s Returns by Axioma

A ‘real world’ portfolio is used to illustrate how fundamental managers can use quantitative tools to identify and lessen potential issues in their portfolio, thereby improving their realized returns.

An Asset Allocation Primer: Connecting Markowitz, Kelly and Risk Parity by PIMCO

Standard asset allocation model mechanics, including the utility based, Kelly, Markowitz, fixed allocation, and risk parity approaches, are described and contrasted in this PIMCO article.

 

Managing equity portfolio volatility by harnessing the volatility risk premium by Eaton Vance

Option-based strategies that attempt to harness the Volatility Risk Premium comprise a new type of solution that investors are currently exploring in order to achieve equity-like returns with less risk.

Start of Something Big: Demystifying the Source of Large Alpha in Small Caps by QMA

Active small-cap managers continue to outperform. QMA posits that capturing alpha in small caps is largely the result of inefficiencies that create pronounced mispricings that diligent managers can exploit on a regular basis.

 

About Savvy Investor

Savvy Investor is the world’s leading resource hub for the institutional investors. Since launch in March 2015, more than 23,000 members from across the globe have registered for the site, with 150-200 new members joining every week.

To find out how you can partner with Savvy Investor this year to enhance your thought leadership credentials in the institutional investor marketplace, please contact our Business Development Manager, Stuart Blake, stuart.blake@savvyinvestor.net.

 

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Highest paying programming languages for 2017 are these

Hi << Test First Name >>,

What are the highest paying programming languages? There was a list of put out on Medium.com. It seem there are no surprises of the legacy languages like Java, C++/C, Python, and others. Some newer languages are coming up but I can only focus a on a few. The ones I mentioned are primary ones for high speeding trading needs. Also, you will note in my podcast/video that I do not have any preferences for Microsoft .NET languages but they are a commodity so the other languages are higher paying.

 

Check out the list here.

http://quantlabs.net/blog/2017/11/the-highest-paying-programming-languages-for-2017-are/

 

I have one last step to complete this initial forex trading automated strategy in Dukascopy Jorex. I am kind of excited to provide the current status this Mondayso see the details below.

 

As we are entering US Black Friday/Cyber Monday weekend, I am putting together a stellar highly valiable package for all of you to consume. I will also limit parts of of it moving into the next few days so I will keep you posted as we move forward.

 

Starting this my usual weekly Monday webinar events, I showcasing the current status of this strategy. Please find below the details:

 

This is a reminder! Here are the details of my upcoming event online this Monday night at 7 EDT!

Bryan Downing is inviting you to a scheduled Zoom meeting.

Topic: Latest status on custom forex trading

Time: Nov 20, 2017 7:00 PM America/Toronto

Join from PC, Mac, Linux, iOS or Android: https://zoom.us/j/608625832

Or iPhone one-tap :

US: +16465588656,,608625832# or +16699006833,,608625832#

Or Telephone:

Dial(for higher quality, dial a number based on your current location)

US: +1 646 558 8656 or +1 669 900 6833

Meeting ID: 608 625 832

International numbers available: https://zoom.us/zoomconference?m=sg0WBgvsGTqeaI_L3IaR5j2oWOdpxmPd

Full details here:

http://quantlabs.net/blog/2017/11/lets-discuss-the-current-status-custom-trading-forex-strategy-webinar/

I got one more step before going into testing mode with multiple volatile currency pairs!

Thanks Bryan

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The highest paying programming languages for 2017 are

The highest paying programming languages for 2017 are

It is no surprise here

medium.com/@ChallengeRocket/top-10-of-programming-languages-with-the-highest-salaries-in-2017-4390f468256e

 

View story at Medium.com

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Evolution of Smart Beta – 2017 survey reveals new trends

 

 

FTSE Russell survey highlights growth of multi-factor investing

Andrew Perrins of Savvy Investor shares an insight in to the latest Smart Beta trends.

 

FTSE Russell’s 2017 Smart Beta survey of asset owners reveals robust growth in the adoption of smart beta indexing, particularly multi-factor strategies – the use of which appears to have tripled in the last two years.

 

Below, the Savvy Investor Research Team has listed the top 12 factor investing papers published in the last couple of months. All of these are free to access on the Savvy Investor research platform.

Smart beta: 2017 global survey findings from asset owners (FTSE Russell, 2017)

Now in its fourth year, FTSE Russell’s comprehensive survey of global asset owners focuses on key themes behind the adoption, evaluation and implementation of smart beta.

Bridging the Gap: Adding Factors to Passive and Active Allocations (MSCI)

How does the factor allocation fit into a manager’s overall equity program? This MSCI paper uses a risk budgeting framework to investigate how active mandates and factor allocations can be combined.

The Rise of Factor-Based Investing (LGIM)

Factor-based investing, which seeks to identify the underlying characteristics that drive performance, has grown rapidly since the financial crisis. This paper by Legal & General Investment Management assesses its rise.

Factor Exposure and Portfolio Concentration (FTSE Russell, May 2017)

This paper by FTSE Russell is an ideal read for asset owners who need a better understanding of factor tilting and want to compare outcomes for factor portfolio construction.

The Merits and Methods of Multi-Factor Investing (S&P Dow Jones Indices, 2017)

With a wealth of smart beta indices to choose from, market participants may find it difficult to decide when each factor-based strategy is best suited to deliver returns. This paper considers how effective a multi-factor approach might be.

Factor Investing Insights from BlackRock (BlackRock, Apr 2017)

Adopting a factor lens can help investors better understand the risks in their portfolios. Managing factor exposures can potentially improve returns, reduce risk and lower overall portfolio expenses. Learn more in BlackRock’s ETF Desk Reference.

Why Invest in Momentum as a Factor? (SSGA, 2017)

This 6-page paper by State Street Global Advisors provides a helpful overview of Momentum Investing.

Investing in the Quality Factor (SSGA, 2017)

The authors of this paper explain how they think about the Quality Factor in equities and why they consider their tilting methodology to be a better way to capture the factor — especially for investors with limited risk budgets.

Three ways to successfully implement factors and smart beta (Robeco, 2017)

This paper by Robeco aims to give investors a clearer picture of what factor-based investing actually is and how to best implement quantitative strategies.

Factor Timing is Hard (AQR Capital Management, 2017)

In this paper, Cliff Asness of AQR Capital Management argues that contrarian factor timing is not easy and current factor valuations are not extreme, contrary to popular belief.

Factor Investing Combinations: The sum of the parts (S&P Dow Jones Indices)

Given the success of strategies that exploit single factors, it is not surprising that strategies designed to exploit more than one factor have begun to pique the interest of market participants. This paper explores further.

Factor Investing: Made Simple Guide (PLSA, 2017)

This guide has been produced by the UK Pensions and Lifetime Savings Association (PLSA). It provides a helpful introduction to factor investing.

Why Factor Tilts Are Not Smart “Smart Beta” (Research Affiliates, 2017)

The authors’ analysis of three first-generation smart beta strategies shows factor-replicated portfolios are ineffective substitutes for their smart beta counterparts, exhibiting poorer performance, high turnover, and low capacity.

Savvy Investor www.savvyinvestor.net is the world’s leading platform for the distribution of white papers to global institutional investors. Registration is free, and provides access to over 15,000 white papers, as well as an extensive global database of investment conferences, and a personalised newsletter, keeping you up to date with investment news and research.

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Reflection of Quantcon 2017

Reflection of Quantcon 2017

I never have gone to one nor will. I believe I need to bone up in so many areas before i venture to one of these things.

 

http://qoppac.blogspot.ca/2017/05/some-reflections-on-quantcon-2017.html

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2017 QuantStart upcoming content survey

No surprise on most popular being machine learning but there are some interested surprises so you should read this to know what the trends for what people want

https://www.quantstart.com/articles/quantstart-upcoming-content-survey-2017

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Regarding Matlab… in 2017

A very valid question from a member:

 

Hi Bryan.

there just aren’t enough hours in the day with my job to watch every video… wow!

My head is going to explode…. trouble focusing on Python training…  look over there… cows!

anyway…

question about Matlab…

I want to get it, but what add-ons do you think I need based on possble IB API strategies?

Keep in mind, that each add-on is $50 or so..

With all the add-ons you could think of, would it be more than $500,say?

Thanks for the kind words but it is a lot so I have spent over the last months stripping out stuff you may not need. The Python should be the easiest and quickest path to your goals. You COULD get Matlab but I am not needing it at this point since Python covers a lot of it. As you know, Python is free. As for the costs of Matlab, it sounds right but your best bet is to go to their site/sales staff to confirm. Also, it is still highly limited on how you can extend your Matlab scripts to do anything with other systems. This is when it gets into the thousands of Matlab costs.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Why these ‘hedge fund pros’ dislike what I do 2017 edition

Why these ‘hedge fund pros’ dislike what I do 2017 edition

Sometimes you get those ‘egomaniac’ insider who live in ivory towers who are out of touch attacking you for certain views. Fine. It gets kind of ridiculous when you try to engage with them. I have made a 2017 edition of the attacks so far which is really rare thankfully.

Check out my 30+ minute video here

How KCG employees rob you of your retail trading account

The most recent was from an employee who works at KCG the HFT operator. What this person does not realize he could lose his entire career by revealing some insider info on his employer. This is not smart of course as you could imagine.

I have made a compilation of certain responses

I am setting the end of my FLASH SALE for this Friday. All the items are discounted below. This basically means that everything will go back to regular pricing within 24 hours!

It is marked down 50% to jumpstart your learning!

Here are the courses to help out your automated trading:

Algo Trading Components in Python (most popular)

High level components for algorithmic trading systems. Source code walk-through and videos included.

https://quantlabs.net/analytics/overview-futures-options-strategy/

Futures Options Strategy Overview

Fundamental analysis for all commodities, metal, financial, and currencies in futures and options asset classes.

https://quantlabs.net/analytics/overview-python-infrastructure-building-blocks/

Interactive Brokers API Workshop

Interactive Brokers API workshop with C++, Java, and Python demos. Source code included.

https://quantlabs.net/analytics/overview-ib-api-dukascopy/

Thanks for reading
Bryan

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