Quant Mashup - Delphic Alpha

Email summaries are back. Get the Quant Mashup delivered to your inbox every 1-3 days. Never more than one email per day. No spam and no sharing your address. Look for the email link in the header and sidebar. - Mike

How Market Feedback Loops Affect Alpha [Delphic Alpha]

Momentum is usually profitable on strong trends. The literature on feedback trading and liquidity predicts one exception: the week after a trend moved further while liquidity was low. I combine four strands of that literature into one model and test it on daily data for ETFs, futures, S&P 500(...)

From Signal to Bet: A Blueprint for Multi-Asset, Multi-Horizon Trading Pipelines [Delphic Alpha]

A system that runs several models across many assets, bar sizes and forecast horizons has to answer the same questions for every prediction. How long is the call held? How big is the bet? Which calls are traded at all? How do positions from models on different clocks become one position per symbol?(...)

Analysing 335 Quant Trading Podcasts: How Systematic Managers Trade [Delphic Alpha]

What do systematic managers actually do with their money? This post distils 335 podcast episodes, about 3.7 million words of interviews with CTAs, quants and allocators, into practical lessons. Every claim links to the episode it came from. It is organised around the questions people ask most: which(...)

Which Conformal Method Works for Which Alpha Signal? [Delphic Alpha]

Conformal prediction is not one technique - it is a family of methods, each with its own strengths and weaknesses. Split Conformal, Mondrian, ACI, CQR - they all produce valid prediction intervals, but they behave very differently depending on the signal you feed them. It is not an implementation(...)

From Alpha Signals to Portfolio [Delphic Alpha]

Every quant hits the same wall. You have hundreds of features that look predictive in isolation. Now you need to combine them into a single portfolio. This is a worked example of that problem: 576 features, 25 instruments, 5 asset classes, daily bars. What to select, how to combine, and where it(...)

Path Signatures: Does the Shape of Price Paths Predict Returns? [Delphic Alpha]

Every indicator you use on a rolling window, momentum, RSI, Bollinger bands, discards the order in which events occurred. Two 2-hour windows with identical total return and identical range expansion score identically, even if one saw price rally first and volatility respond, while the other saw(...)

Daily Long/Short Trend Following: Parameters, Asset Classes, and Universe Depth [Delphic Alpha]

I ran the same trend-following strategy across futures, stocks, FX, and crypto. On futures it produced a net Sharpe of 0.73. Crypto came in at 0.56. US stocks barely broke even at 0.42. FX was marginal at 0.24. Same signal, same methodology, four very different outcomes. All four have near-zero(...)