Quant Mashup - Concretum Group When Execution Delays Erode Short-Term Alpha [Concretum Group]In short-term trading systems, delaying the execution of a signal can lead to a meaningful deterioration in performance. Many systematic traders design strategies under the assumption that any signal computed at the market close should be executed on the next day’s open. This workflow has a clear(...) Opportunity-Set Bias in Mean-Reversion Trading Systems [Concretum Group]In the evaluation of new signals and trading strategies, a common practice is to initiate the research process by analyzing a full set of trade statistics. The rationale behind this approach is simple: strategies exhibiting attractive trade-level metrics are considered eligible for further due(...) ChatGPT in Systematic Investing - Enhancing Risk-Adjusted Returns with LLMs [Concretum Group]This paper investigates whether large language models (LLMs) can improve cross-sectional momentum strategies by extracting predictive signals from firm-specific news. We combine daily U.S. equity returns for S&P 500 constituents with high-frequency news data and use prompt-engineered queries to(...) Building a Survivorship Bias-Free Crypto Dataset with CoinMarketCap API [Concretum Group]When you look at a chart of Bitcoin’s price from 2010 to today, it tells a story of volatility, resilience, and long-term gains. But what about the thousands of coins that launched, pumped, and then disappeared along the way? Most commonly used crypto datasets, especially those tied to current(...) Backtesting the Opening Range Breakout (ORB) Strategy using Polygon.io [Concretum Group]In this article, we will show you how to run, customize, and analyze a backtest for the Opening Range Breakout (ORB) strategy. Instead of explaining every line of code, we’ll focus on how to execute the backtest, adjust key parameters, and interpret the results. By the end, you’ll be able to:(...) How to Evaluate the Effectiveness of a Trading Strategy: p-Values and Bootstrapping Methods [Concretum Group]One common question we often receive from our readers is: “How do you evaluate the effectiveness of a trading strategy?” In this post, we’ll explore two fundamental techniques used in quantitative research to assess whether a trading strategy may genuinely offer an advantage or if its(...)