Quant Mashup - Quantitativo Murphy's Law [Quantitativo]“Anything that can go wrong, will go wrong.” — Major Edward A. Murphy Jr., aerospace engineer A few days ago in Abu Dhabi, I met an old friend I hadn’t seen since our graduation. We were among the very few aerospace engineers trained in our home country that year. After a few years serving(...) Asset Embeddings [Quantitativo]“You shall know a word by the company it keeps.” John Rupert Firth. John Rupert Firth was a British linguist and one of the pioneers of modern semantics. In the 1950s, he proposed a simple yet revolutionary idea: “You shall know a word by the company it keeps.” More than half a century(...) Volume Shocks and Overnight Returns [Quantitativo]Albert Einstein had a way of capturing deep truths in simple words. His quote is a reminder, especially relevant to us when building models. Stripping away unnecessary complexity is vital, but going too far risks oversimplification: a model that looks neat but fails to capture reality. This week, we(...) From Defense to Offense: A Tactical Model for All Seasons [Quantitativo]“Basketball is a game of adjustments.” Bob Knight. Bob Knight was the last coach to lead an NCAA team to a perfect season: 32 wins, zero losses. That record still stands nearly half a century later. His secret? He was a masterful tactician. Obsessed with preparation, relentless on fundamentals,(...) The Unintended Consequences of Rebalancing [Quantitativo]“I picked up one or two pieces and examined them attentively... I then collected four or five pieces and went to Mr. Scott... I said, ‘I believe this is gold.’” James W. Marshall. He found gold… and died broke. James W. Marshall unintentionally sparked one of the greatest migrations in(...) The Derivative Payoff Bias [Quantitativo]“You're nothing but a pack of cards!” Alice, standing up to the Queen of Hearts. I used to think Alice in Wonderland was just a goofy kids’ story. After re-reading it as an adult, I actually think it’s brilliant. It’s satire dressed up as nonsense. A dream disguised as a joke. A(...) Short-Term Basis Reversal [Quantitativo]“A single hair from the head of a woman is worth more than all the books of Galen and Avicenna.” Paracelsus. Paracelsus (1493–1541) was one of the most radical and influential physicians and philosophers of the Renaissance. A restless traveler, alchemist, and fierce critic of medical(...) Beta hedging [Quantitativo]"If you're not thinking about risk, then you're not thinking." William Sharpe. William Sharpe is a Nobel Prize-winning economist renowned for his work on the Capital Asset Pricing Model (CAPM) and the Sharpe Ratio, both of which highlight the central role of risk in pricing and(...) The Bitter Lesson [Quantitativo]“The biggest lesson that can be read from 70 years of AI research is that general methods that leverage computation are ultimately the most effective, and by a large margin.” Richard Sutton. Richard Sutton is one of the greatest minds of our time. He is a founding figure in modern AI and a(...) Informational Edge [Quantitativo]The idea “We don't have better algorithms; we just have more data.” Peter Norvig. Peter Norvig is one of the greatest computer scientists of all time and a leading figure in artificial intelligence. As the former Director of Research at Google, he played a key role in shaping the(...) Learning to Rank [Quantitativo]“Give me a firm place to stand and a lever, and I can move the Earth.” Archimedes. Archimedes, the brilliant Greek mathematician and engineer, was so fascinated by levers that he claimed he could move the Earth with one. His deep understanding of mechanics made him a legend, from designing war(...) Coding Trend Factor [Quantitativo]"Every great developer you know got there by solving problems they were unqualified to solve until they actually did it." — Patrick McKenzie. Patrick McKenzie is a well-known software developer, entrepreneur, and writer, widely recognized for his work in the software industry,(...) Intraday Momentum for ES and NQ [Quantitativo]"If I have seen further, it is by standing on the shoulders of giants.” Sir Isaac Newton. First of all, Happy New Year! When I started Quantitativo a few months ago, I could never expect to gather such an amazing group of like-minded people in such a short time. Your enthusiasm, curiosity,(...) Fast trend following [Quantitativo]“I always say that you could publish trading rules in the newspaper and no one would follow them. The key is consistency and discipline.” Richard Dennis. Richard Dennis is one of the greatest trend-following traders in history, renowned for transforming a small loan into a fortune in the(...) Statistical Arbitrage [Quantitativo]"The holy grail of investing is to have 15 or more good, uncorrelated return streams.” Ray Dalio. I find Ray Dalio's story truly inspiring. From founding Bridgewater Associates in his two-bedroom apartment and growing it into the largest hedge fund in the world to publicly sharing the(...) Mind the gap [Quantitativo]"What we know is a drop; what we don't know is an ocean.” Isaac Newton. Many of Isaac Newton's early theories and ideas were met with skepticism or outright failure. Newton spent years working on problems related to motion, optics, and gravity, often facing dead ends and revisions.(...) A different indicator [Quantitativo]"Mathematical reasoning may be regarded rather schematically as the exercise of a combination of two facilities, which we may call intuition and ingenuity.” Alan Turing. It's hard to find anyone in Computer Science who doesn't hold Alan Turing in deep admiration. Widely regarded as(...) The devil is in the details [Quantitativo]“The group coined a name for the difference between the prices they were getting and the theoretical trades their model made without the pesky costs. They called it The Devil.” Gregory Zuckerman. The quote above is from the great book The Man Who Solved the Market. In it, Gregory Zuckerman tells(...) Coding live forward tests [Quantitativo]"Testing leads to failure, and failure leads to understanding.” Burt Rutan. In the 1960s, NASA was racing to land a man on the moon, and the success of the Apollo 11 mission hinged on the performance of the Lunar Module (LM). The LM had to operate flawlessly in the harsh, unpredictable(...) Long & Short Mean Reversion Machine Learning [Quantitativo]"There is no magic in magic; it's all in the details.” Walt Disney. As most creative people are, I'm a huge fan of Walt Disney and his attention to detail. One of the most famous stories about his attention to detail involves a seemingly small problem with light bulbs on Main(...) Machine Learning and the Probability of Bouncing Back [Quantitativo]“Learn the rules like a pro so you can break them like an artist.” Pablo Picasso. Picasso painted “Woman with a Book,” one of his masterpieces, a few months before my grandmother was born. He was a legendary artist, a true master whose creativity and invention made him one of the most(...) Trading ETFs while fear and greed rise [Quantitativo]"The first principle is that you must not fool yourself, and you are the easiest person to fool.” Richard Feynman Richard Feynman was one of the great scientists and physicists of our time, truly one of the great minds of humanity. This is one of my favorite quotes from him. It emphasizes the(...) This was essentially my first quant strategy 20+ ago. To reiterate: Real-world results less optimistic [Quantitativo]"Mistakes are the portals of discovery." James Joyce. I think this is my best post so far. It's not because of any particular great results (although they are nice). It's because I got help from three extraordinary people: a Market Wizard and a couple of traders who talked about(...) This was essentially my first strategy more than 20 years ago. Real-world results less optimistic [Quantitativo]"It's not that I'm so smart; it's just that I stay with problems longer.” Albert Einstein. I love this quote from Einstein. It shows the importance of persistence and perseverance in the face of challenges. This mindset emphasizes the value of hard work and resilience, which is(...) A portfolio of strategies [Quantitativo]“Don't look for the needle in the haystack. Just buy the haystack.” Jack Bogle. Harry Markowitz's Modern Portfolio Theory (MPT) revolutionized the field of investment management by providing a quantitative framework for portfolio construction and diversification. He is considered the(...)