Jaffray Woodriff, who runs QIM, a highly successful systematic fund, has provided enough details about his data mining approach in various interviews (particularly the one in the excellent book Hedge Fund Market Wizards) that I think I can approximate it. Even…
- I wonder who was buying XIV on the way down after the close yesterday. Huge volume, too...
- For posterity https://t.co/wkPtsQekWa
- I guess the short vol trade is no longer crowded, then...
- Earnings moves tend to be a bit crazy, but wow... Imagine being the guy who sold at 177. https://t.co/Q3wsxFfpWQ
alpha curves C# CAC40 DAX FTSE100 candlestick patterns cross validation CRTDR data mining DOTM DTW Dynamic Time Warping equal risk contribution ETN GTAA HangSeng IBS effect K Nearest Neighbor machine learning mean reversion minimum correlation minimum volatility momentum MultiCharts .NET NASDAQ100 new highs new lows Nikkei225 PCA portfolio optimization position sizing QQQ relative strength risk parity Russell2000 S&P500 seasonality SPY STI swing trend following UDIDSRI VIX VIXY VXV WVF XIV