July 15, 2015

What I am reading: July 15, 2015

Recent articles that I found interesting and made me think. For more articles see the quant mashup Quantocracy.

Five Myths About Data-Mining Bias

“Data-mining is widely used nowadays for trading algo development. There are several myths about how to deal with data-mining bias.”

Average Returns, Rarer Than You Think

“During the course of the 89 years covered by the chart, we never had a single year when the annualized compound return was simply the average!”

All Strategies “Blow Up”

“In this article, we will explain why even good strategies must test investors’ ReSolve every now and then in order to deliver long-term excess returns.”

Annual Asset Class Returns

I always love seeing this chart.


Good Quant Trading,

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