Quant Mashup - Quantpedia
Military Expenditures and Performance of the Stock Markets [Quantpedia]
“Si vis pacem, para bellum“, is an old Roman proverb translated to English as “If you want peace, prepare for war”, and it is the main idea behind the military policy of a lot of modern national states. In the current globally interconnected world, waging a real “hot war” has very often
- 2 weeks ago, 15 Nov 2023, 08:38pm -
Hello ChatGPT, Can You Backtest Strategy for Me? [Quantpedia]
You may remember our blog post from the end of March, where we tested the current state-of-the-art LLM chatbot: Time flies fast. More than six months have passed since our last article, and half a year in a fast-developing field like Artificial intelligence feels like ten times more. So, we are here
- 1 month ago, 18 Oct 2023, 10:07pm -
Time Invariant Portfolio Protection [Quantpedia]
In this article we are going to continue the discussion on portfolio insurance strategies. An exhaustive description of this methodology was already presented in the article Introduction to CPPI (https://quantpedia.com/introduction-to-cppi-constant-proportion-portfolio-insurance). This article will
- 1 month ago, 11 Oct 2023, 03:22am -
An Introduction to Machine Learning Research Related to Quantitative Trading [Quantpedia]
Following the recent release of the popular large language model ChatGPT, the topic of machine learning and AI seems to have skyrocketed in popularity. The concept of machine learning is, however, a much older one and has been the topic of various research and technology projects over the last
- 2 months ago, 27 Sep 2023, 11:36pm -
Analysis of Price-Based Quantitative Strategies for Country Valuation [Quantpedia]
Value investing originated as an investment strategy in which investors try to beat the stock market by looking for stocks that trade at a price below their intrinsic value or book value. Value investors do not subscribe to the efficient-market hypothesis, which suggests that stock prices always
- 2 months ago, 18 Sep 2023, 10:23pm -
The Seasonality of Bitcoin [Quantpedia]
Seasonality effects, one of the most fascinating phenomena in the world of finance, have captured the attention of investors and researchers worldwide. Since these anomalies are often driven by factors other than general market trends, they usually don’t correlate strongly with market movements,
- 2 months ago, 13 Sep 2023, 09:28pm -
Avoid Equity Bear Markets with a Market Timing Strategy - Revisiting Our Research [Quantpedia]
In March, we posted a series of three articles where our goal was to construct a market timing strategy that would reliably sidestep the equity market during bear markets. Each article focused on trading signals based on a specific group of indicators, namely, price-based indicators, macroeconomic
- 3 months ago, 18 Aug 2023, 09:01pm -
Technical Analysis Report Methodology + Double Bottom Country Trading Strategy [Quantpedia]
We cannot start without a cheap quip: Technical analysis is an astrology for men. Market technicians believe that prices currently contain all information about any asset. It is undoubtedly an oversimplified assumption, as the market is much more complex than that. But suppose you try to use
- 3 months ago, 17 Aug 2023, 11:12pm -
Top Models for Natural Language Understanding (NLU) Usage [Quantpedia]
In recent years, the Transformer architecture has experienced extensive adoption in the fields of Natural Language Processing (NLP) and Natural Language Understanding (NLU). Google AI Research’s introduction of Bidirectional Encoder Representations from Transformers (BERT) in 2018 set remarkable
- 4 months ago, 27 Jul 2023, 11:23pm -
In-Sample vs. Out-Of-Sample Analysis of Trading Strategies [Quantpedia]
Science has been in a “replication crisis” for more than a decade. Researchers have discovered, over and over, that lots of findings in fields like psychology, sociology, medicine, and economics don’t hold up when other researchers try to replicate them. There are many interesting questions of
- 6 months ago, 2 Jun 2023, 08:47pm -
An Evaluation of the Skewness Model on 22 Commodities Futures [Quantpedia]
Skewness is one of the less-known but practical measures from statistics that can be used in trading. It is defined as a measure of the asymmetry of the probability distribution of a random variable around its mean. Financial mathematics and most quantitative models assume some kind of symmetric
- 6 months ago, 28 May 2023, 10:09pm -
BERT Model – Bidirectional Encoder Representations from Transformers [Quantpedia]
At the end of 2018, researchers at Google AI Language made a significant breakthrough in the Deep Learning community. The new technique for Natural Language Processing (NLP) called BERT (Bidirectional Encoder Representations from Transformers) was open-sourced. An incredible performance of the BERT
- 7 months ago, 12 Apr 2023, 09:53pm -
Can We Backtest Asset Allocation Trading Strategy in ChatGPT? [Quantpedia]
It’s always fun to push the boundaries of technology and see what it can do. The AI chatbots are the hot topic of actual discussion in the quant blogosphere. So we have decided to test OpenAI’s ChatGPT abilities. Will we persuade it to become a data analyst for us? While we may not be there yet,
- 8 months ago, 31 Mar 2023, 10:14am -
Avoid Equity Bear Markets with a Market Timing Strategy – Part 3 [Quantpedia]
In the last third installment, we will finish exploring the world of market timing strategies (see parts 1 & 2). We will focus on yield curve predictors and incorporate all three ideas (price-based, macro-economic, and yield curve predictors) into one final trading strategy that yields an annual
- 8 months ago, 19 Mar 2023, 04:53pm -
Avoid Equity Bear Markets with a Market Timing Strategy – Part 2 [Quantpedia]
In this second installment in a series of three articles, we will continue with our goal to construct a market timing strategy that would sidestep the equity market during bear markets. A few days ago, we started with price-based market timing strategies. Today, we will focus on macroeconomic
- 8 months ago, 15 Mar 2023, 09:55pm -
Avoid Equity Bear Markets with a Market Timing Strategy - Part 1 [Quantpedia]
In this series of three articles, our goal is to construct a market timing strategy that would reliably sidestep the equity market during bear markets, thereby reducing market volatility and boosting risk-adjusted returns. We will build trading signals based on price-based indicators, macroeconomic
- 8 months ago, 13 Mar 2023, 10:12pm -
How to Deal With Missing Financial Data [Quantpedia]
The problem of missing financial data is widespread yet often overlooked. An interesting insight into the structure of missing financial data provides a novel research paper by authors Bryzgalova et al. (2022). Firstly, examining the dataset of the 45 most popular characteristics in asset pricing,
- 9 months ago, 25 Feb 2023, 05:59pm -
Investigating Price Reaction Around Bitcoin & Ethereum Events [Quantpedia]
Cryptocurrencies are a high-risk and very speculative asset class that, from being used only by tech geeks worldwide, spread from small retail craziness of early adopters to institutional adoption and mainstream. Some claim it to be a world-changing concept with the utilization of blockchain
- 9 months ago, 15 Feb 2023, 04:01pm -
Evaluating Long-Term Performance of Equities, Bonds, and Commodities Relative to Strength of the US Dollar [Quantpedia]
The US dollar is the world’s primary reserve currency, is the most widely traded currency in the world (making up over 85% of all foreign exchange transactions), and is used as the benchmark currency for pricing many commodities such as oil and gold. We can say that the US dollar is the blood of
- 9 months ago, 10 Feb 2023, 05:44pm -
An Analysis of Rebalancing Performance Dispersion [Quantpedia]
The theme of rebalancing in longer-term investing is neglected but important as it influences the overall portfolio’s performance and risk. Unfortunately, many investors are inconsistent in choosing dates for their rebalances of portfolios, resulting in hardly predictable results (whether
- 10 months ago, 1 Feb 2023, 03:15pm -
Defining Market Cycles Out of Sample [Quantpedia]
We have already published a few articles about how the different market cycles affect the performance of your portfolio and performance of market factors. So far, these states of the market were identified in-sample, with the benefit of hindsight. The full methodology of how we defined bull/ bear
- 10 months ago, 7 Jan 2023, 10:53pm -
Factor's Performance During Various Market Cycles [Quantpedia]
We have already showed How to extend history of any asset, portfolio or strategy to a 100-year long history. We’ve done this by introducing Quantpedia’s Multi-Factor Regression Model, which aims to replicate any portfolio and recreate what its 100-year history would have looked like. The model
- 11 months ago, 29 Dec 2022, 06:36pm -
A Balanced Portfolio and Trend-Following During Different Market States [Quantpedia]
What’s the performance of a balanced portfolio during rising rates? How does it behave when inflation is high? What about a combination of these market states? And how do trend-following strategies fare in such an environment? These and even more questions we will attempt to resolve in our
- 11 months ago, 20 Dec 2022, 06:52pm -
100 Years of Historical Market Cycles [Quantpedia]
Which assets perform best when rates are rising, and inflation is high? And what happens if rates are still rising but inflation is already falling? And what’s the impact of the business cycle? These are the questions that everyone is currently trying to answer. Today, we will start a longer
- 11 months ago, 16 Dec 2022, 08:41pm -
How Much Are Bitcoin Returns Driven by News? [Quantpedia]
The main theme of these days in the crypto world is unmistakenly clear, it’s the mayhem connected with the collapse of the FTX empire, insolvencies of various lenders, and questions about underlying holdings in GBTC OTC ETF and reserves of exchanges and Tether (or other stablecoins as well). With
- 11 months ago, 3 Dec 2022, 06:52pm -
Reviewing Patent-to-Market Trading Strategies [Quantpedia]
The following article is a short distillation of the research paper Leveraging the Technical Competence of a Stock for the Purpose of Trading written by Rishabh Gupta. The author spent a summer internship at Quantpedia, investigating the Patent-to-Market (PTM) ratio developed by Jiaping Qiu, Kevin
- 1 year ago, 16 Nov 2022, 09:17pm -
Impact of Dataset Selection on the Performance of Trading Strategies [Quantpedia]
We have previously mentioned that not all models (such as CAPM) that work well for developed markets (DM, such as the U.S. and Europe) are suited to be applicable in other world parts. The following article is a short analysis that shows that investing in Emerging Markets (EM) has its peculiarities.
- 1 year ago, 14 Nov 2022, 09:58pm -
A Simple Approach to Market-Timing Strategy Replication [Quantpedia]
In previous articles, we discussed the ideas behind portfolio replication with market factors and presented Quantpedia’s approach to Multi-Factor Regression. Additionally, we examined the methods of market factor data extension used in construction of our historic factor universe we utilize to
- 1 year ago, 13 Nov 2022, 10:05pm -
How to Replicate Any Portfolio [Quantpedia]
Would you like to see the performance of your portfolio 100 years back in history? Do you want to analyze the risk of your strategy under 100 years of real historical scenarios? All of these, and much more, will be soon (in a few days) available for Quantpedia Pro subscribers. How? We will explain
- 1 year ago, 2 Nov 2022, 10:33pm -
Stock-Bond Correlation, an In-Depth Look [Quantpedia]
The recent surge in global inflation sent shock waves across financial markets and affected the complicated relationship between stocks and bonds. Today, we would like to present you with a review of two interesting papers, which provide both a deep and easy-to-understand examination of the
- 1 year ago, 19 Oct 2022, 11:16am -
How to Improve Post-Earnings Announcement Drift with NLP Analysis [Quantpedia]
Post–earnings-announcement drift (abbr. PEAD) is a well-researched phenomenon that describes the tendency for a stock’s cumulative abnormal returns to drift in the direction of an earnings surprise for some time (several weeks or even several months) following an earnings announcement. There
- 1 year ago, 13 Oct 2022, 01:25am -
Multi Strategy Management for Your Portfolio [Quantpedia]
If you follow Quantpedia’s blogs, you probably know that Quantpedia PRO already contains multiple risk management and portfolio construction tools for your quantitative investment strategies. For example, Crisis Hedge can find you suitable investment hedges for negative months and for bear
- 1 year ago, 4 Oct 2022, 01:42am -
Automated Trading Edge Analysis [Quantpedia]
Have you ever wondered if your trading asset trends or mean-reverts? Everyone involved in trading or investments daily solves the task of – What trading strategy should I apply to my assets to generate profits? As always, we at Quantpedia will try to help you a bit with this never-ending task with
- 1 year ago, 2 Sep 2022, 09:36am -
Are There Intraday and Overnight Seasonality Effects in China? [Quantpedia]
At the moment, there is a lot of attention surrounding overnight anomalies in various types of financial markets. While such effects have been well documented in research, especially in US equities and derivatives, there are other asset classes that are not as well addressed. We previously compiled
- 1 year ago, 29 Aug 2022, 12:13am -
100-Years of the United States Dollar Factor [Quantpedia]
Finding high-quality data with a long history can be challenging. We have already examined How To Extend Historical Daily Bond Data To 100 years, How To Extend Daily Commodities Data To 100 years, and How To Build a Multi-Asset Trend-Following Strategy With a 100-year Daily History. Following the
- 1 year ago, 16 Aug 2022, 10:15am -
The Worst One-Day Shocks and Biggest Geopolitical Events of the Past Century [Quantpedia]
We dedicated several articles to how we created 100-year history for bonds, stocks, and commodities. Now we analyze the 50 worst one-day shocks and the following days in each of the abovementioned asset classes. In addition to that, we also look at how the Multi-Asset Trend-Following strategy
- 1 year ago, 11 Jul 2022, 09:40pm -
Skewness/Lottery Trading Strategy in Cryptocurrencies [Quantpedia]
A recent spring 2022 crisis in the cryptocurrency market emphasized the importance of market-neutral crypto trading strategies. It’s not enough just to HODL crypto market and hope for the everlasting bull market. Therefore, we continue our series of research articles about the cryptocurrency
- 1 year ago, 21 Jun 2022, 09:37pm -
Trend-Following in the Times of Crisis [Quantpedia]
When someone mentions a financial crisis, most people immediately think of the global financial crisis of 2007-2008. Even though this is the most significant economic crisis in recent years, there have been many more significant crisis periods in the past 100 years. This article examines the biggest
- 1 year ago, 10 Jun 2022, 12:09pm -
Best Performing Value Strategies - Part 2 [Quantpedia]
Value trading strategies have come back into spotlight in recent years. After lackluster performance in years 2018, 2019, 2020, Value has staged a strong comeback in 2021 and also in 2022. With a long history of systematic equity Value strategies, many different variants of the strategy have
- 1 year ago, 8 Jun 2022, 09:12pm -
Introduction and Examples of Monte Carlo Strategy Simulation [Quantpedia]
The Monte Carlo method (Monte Carlo simulations) is a class of algorithms that rely on a repeated random sampling to obtain various scenario results. Monte Carlo simulations are used to predict the probability of different outcomes when it would be difficult to use other approaches such as
- 1 year ago, 30 May 2022, 10:54am -
100-Years of Multi-Asset Trend-Following [Quantpedia]
Trend-following strategies have gained extreme popularity in the recent decade. Almost every asset manager utilizes trend following, or momentum, in some form – whether consciously or subconsciously. We at Quantpedia are convinced that each and every strategy has to be scrutinized thoroughly
- 1 year ago, 27 May 2022, 11:21am -
Extending Historical Daily Commodities Data to 100 years [Quantpedia]
Finding a high-quality data source is crucial for quantitative trading strategies. Also, having a long history is beneficial. Fama & French, for example, offer free historical data for stocks and a variety of factors. However, it is very hard to get good-quality and free data for other asset
- 1 year ago, 25 May 2022, 09:46pm -
Best Performing Value Strategies - Part 1 [Quantpedia]
Value strategies attempting at determining a fair value of an asset are one of the first-ever employed strategies in the markets. We all know about Benjamin Graham and Warren Buffet that are one of the best known examples of Value pioneers. Since then, however, Value strategies have evolved
- 1 year ago, 24 May 2022, 10:16am -
Extending Historical Daily Bond Data to 100 Years [Quantpedia]
Finding a good data source with quality data and long history is one of the greatest challenges in quantitative trading. There definitely are some data sources with very long histories. However, they tend to be on the more expensive side. On the other hand, cheap or free data usually lacks quality
- 1 year ago, 18 May 2022, 12:46pm -
How Does Weighting Scheme Impacts Systematic Equity Portfolios? [Quantpedia]
How often do you think about the weights of the assets in your portfolio? Do you weigh your assets equally, or do you prefer value-weighting? The researchers behind a recent research paper analyzed various weighting schemes and examined their effect on factor strategy return. They studied five
- 1 year ago, 29 Apr 2022, 04:17am -
The Price of Transaction Costs [Quantpedia]
Capturing the systematic premia is the main aim of many quantitative traders. However, investors tend to overlook an important factor when backtesting. Trading costs are an essential part of every trade, and yet even when we consider them, we often only use an approximation. The recent article from
- 1 year ago, 24 Apr 2022, 11:49am -
What's the Best Factor for High Inflation Periods? - Part II [Quantpedia]
This second article offers a different look at high inflation periods, which we already analyzed in What’s the Best Factor for High Inflation Periods? – Part I. In this second part, we look at factor performance during 10-year periods of high inflation. High Inflation Periods As we already
- 1 year ago, 13 Apr 2022, 01:08pm -
What's the Best Factor for High Inflation Periods? - Part I [Quantpedia]
In the past couple of weeks, we have done a few event studies, analyzing events that in one way or another resemble what is happening in the world today. At the beginning of March, we examined Factor Performance in Cold War Crises, and at the end of March, we brought you an article analyzing Nuclear
- 1 year ago, 11 Apr 2022, 12:20pm -
Nuclear Threats and Factor Performance - Takeaway for Russia-Ukraine Conflict [Quantpedia]
The Russian invasion of Ukraine and its repercussions continue to occupy front pages all around the world. The battle situation is very dynamic, but it seems that Ukraine holds ground very well and is even able to execute strong local counter-offensives against Russian forces. That’s definitely
- 1 year ago, 1 Apr 2022, 12:37pm -
What Can We Learn from Insider Trading in the 18th Century? [Quantpedia]
Directors, board members, and large shareholders are just some of those who might have non-public material information about their firm. Even though this information could be easily used to profit by trading their own stocks (stocks of the company they hold information about), this behavior is
- 1 year ago, 22 Mar 2022, 11:29am -