Quant Mashup - Quantpedia
Pre-Holiday Effect in Commodities [Quantpedia]
Our research will explore the intriguing phenomenon of the Pre-Holiday effect in commodities, particularly crude oil and gasoline. Historical data reveals a short-term price drift prior to major U.S. holidays, suggesting a trend in these markets. We hypothesize that this anomaly may be driven by
- 2 hours ago, 15 Oct 2024, 11:16pm -
How to Improve ETF Sector Momentum [Quantpedia]
In this article, we explore the historical performance of sector momentum strategies and examine how their alpha has diminished over time. By analyzing the underlying causes behind this decline, we identify key factors contributing to the underperformance. Most importantly, we introduce an enhanced
- 5 days ago, 10 Oct 2024, 09:16am -
How to Improve Commodity Momentum Using Intra-Market Correlation [Quantpedia]
Momentum is one of the most researched market anomalies, well-known and widely accepted in both public and academic sectors. Its concept is straightforward: buy an asset when its price rises and sell it when it falls. The goal is to take advantage of these trends to achieve better returns than a
- 4 weeks ago, 17 Sep 2024, 08:41am -
Revisiting Trend-following and Mean-reversion Strategies in Bitcoin [Quantpedia]
Over the past few years, significant shifts in the financial landscape have reshaped the dynamics of global markets, including the cryptocurrency sector. Events such as the ongoing war in Ukraine, rising inflation rates, the soft landing scenario in the US economy, and the recent Bitcoin halving
- 1 month ago, 14 Sep 2024, 08:33pm -
Insights from the Geopolitical Sentiment Index made with Google Trends [Quantpedia]
Throughout history, geopolitical stress and tension has been ever-present. From ancient civilizations to today’s world, global dynamics have been largely shaped by wars, terrorism, and trade disputes. Financial markets, as always, have keenly observed and been significantly influenced as a result.
- 1 month ago, 3 Sep 2024, 07:55pm -
Overnight Reversal Effects in the High-Yield Market [Quantpedia]
High-yield bond ETFs represent a unique financial vehicle: they are highly liquid instruments that hold inherently illiquid securities, creating a fertile ground for predictable market behaviors. Our latest research uncovers an intriguing anomaly within these ETFs, similar to those observed in the
- 1 month ago, 26 Aug 2024, 10:49pm -
Lunch Effect in the U.S. Stock Market Indices [Quantpedia]
In the complex world of financial markets, subtle patterns often reveal themselves through careful observation and analysis. Among these is the intriguing phenomenon we can call the “Lunch Effect,” a pattern observed in U.S. stock indexes where market performance tends to exhibit a distinct
- 1 month ago, 25 Aug 2024, 10:44pm -
A Few Thoughts on Pragmatic Asset Allocation [Quantpedia]
One of the main reasons why the Pragmatic Asset Allocation Model was designed is to give investors a tax-efficient possibility to invest in a global equity portfolio with a lower risk than the passive buy&hold approach. Therefore, the PAA model is not the “absolute return” model but rather
- 3 months ago, 29 Jun 2024, 10:05pm -
The Art of Financial Illusion: How to Use Martingale Betting Systems to Fool People [Quantpedia]
The Internet (and especially the part related to finance, trading, and cryptocurrencies) can be dangerous and full of offers of guaranteed returns, pictures of forever-growing bank accounts, and guys with golden rings swimming in the bathtub filled with cash. The truth is usually less rosy.
- 3 months ago, 25 Jun 2024, 01:18pm -
Investigation of Lead-Lag Effect in Easily-Mistyped Tickers [Quantpedia]
Our new study aims to investigate the lead-lag effect between prominent, widely recognized stocks and smaller, less-known stocks with similar ticker symbols (for example, TSLA / TLSA), a phenomenon that has received limited attention in financial literature. The motivation behind this exploration
- 3 months ago, 22 Jun 2024, 03:04pm -
Quantpedia Composite Seasonality in MesoSim [Quantpedia]
The Efficient Market Hypothesis (EMH), theory developed in the 1960s, states that stock prices reflect all available information, making it impossible to consistently earn above-average returns using this information. Nevertheless, numerous studies challenge this view by documenting anomalies that
- 4 months ago, 13 Jun 2024, 03:46pm -
Active vs. Passive Life Cycle Savings Strategies [Quantpedia]
The main goal of our new article is to explore the efficacy of passive versus active management strategies in the context of savings for long-term financial goals. By analyzing the performance of nine distinct asset classes, including Double Leveraged ETFs and an implementation of the Pragmatic
- 4 months ago, 4 Jun 2024, 02:20am -
Quantpedia Awards 2024 - Winners Announcement [Quantpedia]
Hello all, Welcome to the Quantpedia Awards 2024 winners announcement. This is the moment we all have been waiting for, and today, we would like to acknowledge the accomplishments of the researchers behind innovative studies in quantitative trading. So, what do the top five look like, and what will
- 4 months ago, 28 May 2024, 02:20am -
Can Google Trends Sentiment Be Useful as a Predictor for Cryptocurrency Returns? [Quantpedia]
In the fast-paced world of cryptocurrencies, understanding market sentiment can provide a crucial edge. As investors and traders seek to anticipate the volatile movements of Bitcoin, innovative approaches are continuously explored. One such method involves leveraging Google Trends data to gauge
- 5 months ago, 18 Apr 2024, 05:14am -
Cryptocurrency Market Dynamics Around Bitcoin Futures Expiration Events [Quantpedia]
In the rapidly evolving landscape of cryptocurrency markets, understanding the underlying dynamics that drive price movements and investor sentiment can be a matter of survival. However, there are myriad facets of trading reality, and the only thing that we can do is to slowly understand them one
- 6 months ago, 27 Mar 2024, 11:13pm -
Systematic Hedging of the Cryptocurrency Portfolio [Quantpedia]
Cryptocurrencies are already one of the major asset classes. They fill the top pages of magazines and are a topic of a day to day conversation. There are a lot of ways to buy them through a lot of different channels. But some of the hardcore HODLers like to keep their coin portfolio safe – they
- 7 months ago, 12 Mar 2024, 08:29pm -
How Much Bitcoin Should We Allocate To the Portfolio? [Quantpedia]
After years of waiting, the recent launch of spot Bitcoin ETFs marked a significant milestone in the cryptocurrency market, making Bitcoin even more accessible for investors. Spot ETFs provide a convenient and regulated way to gain exposure to Bitcoin without the need to hold the digital asset
- 7 months ago, 26 Feb 2024, 10:04pm -
Robustness Testing of Country and Asset ETF Momentum Strategies [Quantpedia]
The investment world witnessed a paradigm shift with the introduction of momentum strategies, a concept pioneered by Jagadeesh and Titman in their landmark 1993 study “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency”. Their groundbreaking approach, hinged
- 7 months ago, 20 Feb 2024, 09:18pm -
Gauging Existing Technical Fundamental Features through Mutual Information [Quantpedia]
Investing truly is an intense intellectual undertaking. For a Portfolio Manager (PM) to execute an investment, they must first convince themselves, then others, that the rationale behind the investment is sound. The variables they utilize in developing their rationale are of the upmost importance;
- 7 months ago, 17 Feb 2024, 07:17am -
How to Build a Systematic Innovation Factor in Stocks [Quantpedia]
The aim of this article is multifold. It aims to answer the research question: does a portfolio consisting of top innovators outperform the S&P 500 index? To address this question, a strategy of investing long in top innovators according to their ranking is developed, and its performance is
- 8 months ago, 2 Feb 2024, 06:21pm -
Join the Race: Quantpedia Awards 2024 Await You [Quantpedia]
Hello everyone, Two weeks ago, we promised you a surprise, and now it’s finally time to unveil what we have prepared for you :). Our Quantpedia Awards 2024 aims to be the premier competition for all quantitative trading researchers. If you have an idea in your head about systematic/quantitative
- 8 months ago, 28 Jan 2024, 02:49am -
Exploration of CTA Momentum Strategies Using ETFs [Quantpedia]
Commodity Trading Advisor (CTA) funds are commonly associated with managed futures investing in futures and options, and are a subset of the broader hedge fund universe[1]. Beyond commodities, they have the flexibility to venture into other assets, including interest rates, currencies, fixed income
- 8 months ago, 19 Jan 2024, 12:09am -
Pragmatic Asset Allocation Model for Semi-Active Investors [Quantpedia]
The primary motivation behind our study stems from an observation of the Global Tactical Asset Allocation (GTAA) strategies throughout the existing papers – the majority of them require relatively frequent rebalancing from the point of view of the ordinary investor. Portfolio rebalancing is
- 9 months ago, 12 Jan 2024, 10:40pm -
Why Do US Stocks Outperform EM and EAFE Regions? [Quantpedia]
Investing in emerging markets (EM) or developed markets (DM) outside of the United States tends to follow cyclical trends. At times, it becomes popular and crowded to focus solely on U.S. stocks, while in other periods, the trend shifts to favor everything except U.S. equities. This inclination
- 9 months ago, 5 Jan 2024, 08:22pm -
Are Alternative Social Data Predictors Useful for Effective Allocation to Country ETFs? [Quantpedia]
The part of the attention of our own research from the last few months was a little skewed on the side of countries’ indices and their corresponding ETFs representing them, and we finally conclude our “trilogy” of investigation on the efficiency of these markets. Firstly, we analyzed
- 9 months ago, 16 Dec 2023, 06:06pm -
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
- 11 months 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
- 11 months 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 year 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
- 1 year 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
- 1 year 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,
- 1 year 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
- 1 year 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
- 1 year 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
- 1 year 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
- 1 year 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
- 1 year 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
- 1 year 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,
- 1 year 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
- 1 year 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
- 1 year 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
- 1 year 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,
- 1 year 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
- 1 year 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
- 1 year 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
- 1 year 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
- 1 year 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
- 1 year 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
- 1 year 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
- 1 year 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
- 1 year ago, 3 Dec 2022, 06:52pm -