Quant Mashup Not another one! My fifth book... [Investment Idiocy]Well yes, I am pleased to announce that as of this week I completed final proof reading of my new book "The Art And Science of Trading"(AAST). It joins the list of my existing books with their own acronyms: Systematic Trading (ST), Smart Portfolios (SP), Leveraged Trading (LT) and Advanced(...) Ghost Members. Recipe for Reconstructing Historical Membership of S&P 500 from Public Sources [Dead Signals Lab]The previous note showed that a backtest with a net Sharpe of 0.63 fell to −0.06 upon applying a single filter: the point-in-time membership of the index, that is, knowing with precision which companies belonged to the S&P 500 in each month of the sample. It should be noted that a paradox was(...) Post-earnings-announcement drift decomposed by earnings predictability and gross profitability [Quanter Lab]Nine cohorts are cut at every anchor from the point-in-time S&P 500, three terciles of earnings predictability crossed with three of gross profitability, and each walks twenty sealed one-year windows from 2006 to 2025 at four holding periods in two book shapes: a long-short book that buys(...) Do LLM “Crowds” Produce Investment Signals? An Empirical Test [Quantpedia]The integration of artificial intelligence into algorithmic trading has ignited a race to transform generative text into systematic alpha. A new paper written by Steven Edwards empirically investigates whether constructing a synthetic consensus using large language models can simulate information(...) Post-earnings announcement drift 2006-2025 [Quanter Lab]The drift the academic literature describes does not pay in large caps: form the classic quarterly surprise book and the grid nets -0.5 percent a year across eleven sectors and twenty years. The reaction to the earnings number itself still does: enter each company the day its own number is known and(...) The Quantish Research Harness [Quantish]Over the past year I built an operating system for quantitative trading research: a harness that lets AI agents run the grunt work of strategy development end to end, inside rails that make self-deception structurally difficult. It recently carried two strategies from an empty folder through the(...) Gold and macro factors [Macrosynergy]Trends in gold returns can be partly explained by the macroeconomic environment. Persistent monetary easing, dollar stability risks, and weak economic sentiment can each drive sustained demand for gold. This article shows how to construct simple point-in-time macro factors that capture these themes(...) What Daily Stock Returns Tell Us About the Economy [Alpha Architect]One of the most enduring puzzles in finance is the apparent disconnect between Wall Street and Main Street—markets sometimes soar while the underlying economy stumbles, and vice versa. Paul Samuelson famously quipped that “the stock market has predicted nine out of the last five recessions”(...) CAPM after Markowitz: Portfolio Choice Meets the Market [Spatium Novum]Beta began as a way to compress a covariance matrix. The CAPM turned it into the equilibrium measure of exposure to aggregate market risk, priced by the market premium. Markowitz maps beliefs to portfolios. With common beliefs, a risk-free asset and market clearing, the CAPM adds one decisive(...) I built paper-spec crypto strategy on 5.8 years of data. It's lost money every year since 2024 [Strat Proof]The literature on crypto quant trading keeps citing cross-sectional momentum as a durable edge with Sharpe around 1.1 to 1.5. I built exactly the paper spec, ran it against 303 weekly rebalances across 10 majors, no parameter tuning, no regime filters, no cheating. Annualized Sharpe came out at(...) EigenScore is Live: The First Rated Contest Platform for Quants [Vertox Quant]For the past months, almost every free hour I had went into one thing. Today it’s live. eigenscore.com In quant, everyone claims to be good, and there's no arena to settle it. Competitive programming solved that twenty years ago with rated contests. I built the same thing for us. What it is(...) Dalio Holy Grail walked 2008-2025 [Quanter Lab]The most liquid fund shelf a person can buy holds 3.3 independent bets. Dalio's chart needs fifteen. The Holy Grail of investing, in his words: find fifteen good, uncorrelated return streams and risk falls by roughly eighty percent while return stands still. At correlation zero, fifteen equal(...) 2x Your Portfolio Every Year: How I Turbocharged the Overnight Effect [Paper to Profit]For those unaware, you generally make more money overnight than you do during the day when holding stocks. So much so that even if you just held the SPY overnight (buy at close, sell at market open the next day), you would net considerably more than if you held it during the day (buy at open, sell(...) A Sharpe of 2.1 From Nothing: The Second Number Your Agent Doesn't Log [Jonathan Kinlay]I gave a research agent four years of prices with no predictable structure in them — none, by construction — and it came back with a long/short book, an in-sample Sharpe of 2.1, and a paragraph explaining the economics of an effect that does not exist. That is the measurement in this post. The(...) All Weather built and tested against inverse vol, ERC and a 60/40 [Quanter Lab]People usually take All Weather for the fixed allocation Dalio gave Tony Robbins, which is the one every retail article prints, but that one is All Seasons and it carries no borrowing at all. All Weather proper is risk parity borrowed up until the book carries a 60/40's volatility, which means(...) Stock-Bond Correlation: The Sign Flips and So Do Its Drivers [Aligrithm]A 50/50 stock-bond portfolio that earned its target return with moderate volatility before 2000 requires an 80/20 allocation after 2000 to maintain the same profile. That 30-point shift is not a style choice or a bet on equities. It is the portfolio adjustment needed to compensate for the stock-bond(...) Backtest Said "SURVIVES." Per-Year Numbers Said No. I Learned to Trust the Second One [Jan Heger]Twice in a single afternoon, it told me an idea was good. Twice, it was wrong, and the thing that caught the error both times was a number the headline verdict had quietly averaged away. Here’s what the aggregate hid, and why I now trust the breakdown over the bottom line every time. The idea that(...) Volatility Clustering in Bitcoin: Regime Persistence as a Forecast [Aligrithm]Bitcoin's volatility does not mix randomly across time. High-vol periods follow high-vol periods, low-vol stretches extend themselves, and the transition probabilities are stable enough to build a forecast from. Borrego Roldán's 2024 study quantifies this with hourly and daily data from(...) Does Trading TAA Strategies More Often Improve Performance? [Allocate Smartly]Most Tactical Asset Allocation (TAA) strategies trade once per month. That’s by design. Short-term market movement is mostly noise, and trying to time every zig and zag is a fool’s errand. A unique feature of our platform is the ability to follow these monthly strategies on any day of the month.(...) Dual Momentum for a Collapsing Currency [Michael Emre Tulum]Turkish savers have argued about the same question for decades: keep the money in a lira time deposit and collect the interest, or convert it to dollars and hold. The dilemma is common enough to have a household name — faiz mi, dolar mı?, “interest or dollars?” Both answers have had long(...) Can ChatGPT Forecast Stock Price Movements? [Alpha Architect]Financial markets process an enormous volume of corporate news every day. Earnings announcements, management changes, clinical trial results, insider transactions, partnerships, and regulatory developments can all affect a company’s value. The challenge is not simply identifying whether a headline(...) Boundaries of Time Series Momentum [Quantpedia]Time-series momentum stands as one of the most reliable and heavily backtested anomalies in quantitative finance, serving as a foundational alpha source for modern managed futures and trend-following strategies. However, a recent academic paper by Matti Suominen and Erik Hjalmarsson, titled(...) Podcast: From market problems to quantitative trading systems [Trading the Breaking]In this episode of House of Quants, listeners will discover: Why quantitative trading is engineering: The episode challenges the myth of the lone trader searching for magical chart patterns and explains how institutional research operates as an industrial-scale system built around data, statistics,(...) Magic Formula tested against each half: quality alone beat the combination [Quanter Lab]Joel Greenblatt's Magic Formula ranks companies on two numbers and buys the ones that score well on both. One asks whether a business is cheap. The other asks whether it is any good. The claim in the book is that the pair works better than either number on its own. We tested that claim by(...) What Happens After Congress Buys or Sells a Stock? Evidence... [Equibles]The obvious rule is to buy what members of Congress buy and avoid, or short, what they sell. Across 17,859 investable common-stock disclosure events, that rule fails. One year after a disclosure became public, the typical purchase event trailed the S&P 500 by 5.36 percentage points and the(...) Crypto Isn't Structurally Alien: Roll/VPIN/Amihud Predict Distribution Shifts [Aligrithm]Easley, O'Hara, Yang and Zhang take five textbook microstructure measures, compute them on Binance one-minute bars for BTC, ETH, XRP, SOL and ADA over January 2021 to July 2023, and ask a random forest to call the sign of tomorrow's change in the return distribution. Two numbers carry the(...) Markowitz, Estimation Error and 1/N [Spatium Novum]Markowitz's 1952 paper deliberately begins after investors have formed beliefs about future returns. Portfolio choice is the second stage; estimating its inputs is the first. Rebuilding Robert Shiller's three-asset classroom example with two defensible US equity series moves the(...) FX Edge Lives in Other Markets (cross-asset series) [Aligrithm]A currency futures book built from other currency futures scores a Sharpe of 0.16. The same contracts, wired into a graph that also contains equities, bonds, and commodities, jump the FX sleeve to 0.66. That is Pu, Roberts, Dong, and Zohren, 64 futures, 2000 to 2022, volatility-targeted to 15%.(...) Form 4 Insider Trading in Python: A Filing-Date Event Study [Quant Insti]Form 4 looks unusually convenient for quantitative research. It is public, structured and tied to a regulatory deadline: in general, a reporting person must file by the end of the second business day after a reportable transaction. The SEC's Form 4 instructions state the rule and also show why(...) The Crash Switch Worked and the Strategy Starved Anyway: Keller's Menu Tested [Quanter Lab]In July 2022 Wouter Keller published Bold Asset Allocation. This paper walks the aggressive variant, BAA-G4: hold the single strongest of QQQ, VWO, VEA and BND by relative momentum, or retreat into bonds and bills when a canary basket says so. We ran the published rules on the real tradable funds(...) The Sharpe Stability Ratio: Evaluating the Sharpe Ratio Temporal Consistency [Portfolio Optimizer]The Sharpe Ratio1, one of the most commonly used measure of risk-adjusted performance2, is usually reported as a point estimate (Morningstar, Quantalys, etc.). Thanks to the work of Lo3, Opdyke4 and more recently5 de Prado et al.6, it is nevertheless well understood that such a point estimate […](...) The Safe Assets: 150 Years of Bonds and Gold Across Sixteen Countries [Beyond Passive]A reader asked whether the birthplace lottery that decided equity outcomes also decided bond and gold outcomes. It did, and the shape of the answer is different from what the equity article found. The same measurement applied to bonds The construction matches the equity article. One unit of(...) Does Complexity Actually Help? The Virtue-of-Complexity Autopsy [Aligrithm]Kelly, Malamud and Zhou opened their Journal of Finance paper by reporting out-of-sample market timing Sharpe ratio improvements "relative to market buy-and-hold" of roughly 0.47 per year, earned by a model with 12,000 predictors trained on 12 monthly observations. Daniel Buncic re-ran it(...) Regime-Based Sector Rotation Beats the Index at Full Deployment [Quanter Lab]Regime calls are a steering wheel, not a brake. We walked two strategies through the same registered one-year windows on the nine original Select Sector SPDRs. One holds all nine, equal weight, quarterly rebalance, always fully invested. The other holds three at a time, routed between a risk-on book(...) Wealth management with macro factors [Macrosynergy]A critical decision in wealth management is the allocation of capital across asset classes and cash. Theory and empirical evidence suggest that out- and underperformance of broad asset classes depends on the macroeconomic environment. Consequently, the systematic, low-frequency adjustment of(...) Momentum Mini-Portfolio Development - Part 2: USA Pullback Momentum [TradeQuantiX]Recently we kicked off the momentum mini-portfolio series. The first article was a TSX market dual-factor momentum system with a hybrid trend following type exit. The system turned out to be pretty robust after being run through a vast set of robustness tests. We also took a deep dive into minimum(...) Two Strategies Past 80 Meaningless Versions of Themselves. Control Group Told Them Apart [Jan Heger]The other I threw away, and the only thing that told them apart was a control group that most people building trading systems never bother to build. Here’s what the control saw that my eyes couldn’t. Thanks for reading! Subscribe for free to receive new posts and support my work. What a control(...) Metaheuristics for Rule Optimization — With Diversity as the Guardrail [Aligrithm]Hernández-Romo and co-authors ran four population-based optimizers 31 times each, 1000 generations per run, population of 50, tuning an eight-parameter moving-average strategy on five-minute BTC/USDC bars from January 2020 to March 2025. Differential Evolution won on average annualized return with(...) Model-Based or Data-Mined: Lotter's Framing of the Whole Problem [Aligrithm]Johann Christian Lotter opens his workshop deck with four lines that do more work than most methodology chapters. A model is not the reality. The reality is unknown. The same reality can be described with many different models. The best model must be selected by experiment. Every argument in Pillar(...) Sectoral Intramonth Momentum Cycle: Exploiting Turn-of-the-Month Patterns in Sector ETF Strategies [Quantpedia]We document a persistent intramonth momentum cycle in U.S. sector ETFs that yields meaningful risk-adjusted returns when properly sequenced. Using the nine original Select Sector SPDR ETFs and SPY as the market benchmark from December 1998 through June 2026, we show that trailing 252-day sector(...) Your Research Agent Is an Undisclosed Factor Exposure - And So Is Everyone Else's [Jonathan Kinlay]In May I published a case study on running alpha research through a team of LLM agents: four roles, instrumented handoffs, and roughly a 2× lift in hypotheses tested per week. The post was careful about what it measured. It was silent about a risk I had not thought to price. Here is the risk. If(...) Price-Path Convexity: A New Cross-Sectional Anomaly [Aligrithm]Take two stocks that both end the month flat. The first bled lower for two weeks, then clawed all the way back. The second ran up for two weeks, then gave it all back. Same start, same finish, same zero return. Sort every stock in the market by past return and these two land in the identical bucket,(...) Dual Momentum Between Gold and Bitcoin (Two Stores of Value) [Aligrithm]An 8-week dual-momentum switch between GLD and IBIT returns 79.91% a year at a Sharpe of 1.64. Vojtko and Dujava report that number on a Quantpedia note covering 31 December 2018 through April 2026, weekly rebalance at Wednesday's close, cash when both lookbacks print negative. Hold the other(...) VIX and Trend Following Revisited: Nearly a Decade of Out-of-Sample Evidence [Alpha Architect]In September 2017, Alpha Architect published VIX and Trend-Following, the Killer Combo?, an empirical examination of whether volatility information could improve a traditional trend-following allocation model. The central idea was intuitive: market volatility may contain useful information about how(...) Factor Timing Mostly Fails — the Honest Version [Aligrithm]Factor timing is the seductive idea that you can do better than holding a basket of factors: lean into value when value looks cheap, load momentum when momentum is running, cut a factor when its volatility spikes. Every one of those moves has a tidy formula and a plausible story. And when you run(...) Sharpe Ratio Distribution: When Normal's A No-Go, Why Not SHASHo? [Krzysztof Ozimek]I recently came across López de Prado et al.'s (2026) treatment of the Sharpe ratio estimator: — Normal, with the true as its mean, and a variance (see the Normal section of the image below) conditioned on sample size, the return series' autocorrelation, its skewness, its kurtosis, and(...) Market Regimes and Changing Market Dynamics [Relative Value Arbitrage]Markets have been behaving unusually lately. In May, equity indices rose while volatility and skew also increased, a relatively rare occurrence historically. Since last week, the same phenomenon has emerged again, with the spot/volatility correlation turning positive. Is this still a rare(...) How to Spot a Fake ML Trading Paper [Aligrithm]Three papers crossed my desk this month. One detects market manipulation with graph neural networks and reports 98.7% accuracy at 8.3 milliseconds per decision. A second, same author cluster, detects anomalies in high-frequency trading and reports a 15% accuracy improvement with an F1 of 0.915. A(...) I Scaled Out to Raise My Win Rate. It Didn't Move — and It Cost Me $115,000 [Jan Heger]You lock in gains, you stop giving winners back, and, the part everyone repeats, your win rate goes up. I tested it on 3,966 of my own trades. Two of those three claims are false, and the third one cost me a fortune. The setup I run an automated futures system with a fixed exit: each strategy takes(...) Autopsy No.005: The congressional-trading ETF that beats the market [Morgue Labs]Where this came from. A reader replied to Autopsy №001 with a Morningstar page showing NANC ahead of the index and a fair question: what am I missing? They were not missing anything. The fund really has outperformed. This is the answer to what that outperformance is made of. Unlike our other case(...)