Quant MashupEmail 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 Building and Testing Trend-Following Strategies on One-Minute SPY Data [Quantpedia]Intraday trading strategies have gained increasing attention as advances in computing power and market data availability have made intraday strategy analysis more accessible. While many trading strategies are traditionally developed and evaluated using daily price data, shorter timeframes can(...) I Tried A Foundational Financial LLM Model to See If It Holds Up to It’s Claims: It Doesn’t [Paper to Profit]Since the dawn of the LLM age (only few years ago), there has been a flurry of alternative approaches and fundamental remixed on the classic ‘ChatGPT’ style attention transformer. In 2023, Bloomberg released BloombertGPT which was the first ‘financial LLM’ and claimed that it could(...) State-Dependent (In)Efficiency: Meta-Learning a Directional-Change Threshold [Aligrithm]Barak, Razmi and Mousavi report an out-of-sample Sharpe ratio of 1.34 against 0.59 for the best static version of the identical trading logic, on 50 crypto futures from January 2022 to January 2024, with a Ledoit-Wolf bootstrap p-value of 0.008 on the difference. The machine doing the work is a(...) Is the Altman Z-score still relevant? The 1968 formula tested on the S&P 500 [Quanter Lab]In 1968 Edward Altman took sixty-six manufacturers, half of which had gone bankrupt, and found five numbers from their accounts that together told the two halves apart. His Z-score is still taught, and it is now used for a different job: as a quality screen, a way of choosing which shares to own.(...) The Holdout That Made the Sharpe Bigger [Jonathan Kinlay]The panel in my September post was supposed to have zero alpha. It didn’t quite. The market factor carried a drift of 0.0002 per day and the betas were drawn N(1, 0.3), so a book that tilted towards high-beta names had a true Sharpe of about +0.22 on a panel I described as containing nothing. The(...) How much can machine learning improve losing trading strategies? [Daru Finance]Take a library of rules that loses money, put a model on top and let it decide which trades to take, then measure what that recovers across 420 rules, two markets and 43 months. A common pitch for machine learning in systematic trading leaves the strategies alone and puts a model on top of them. The(...) Good vs Bad COVOL in Crypto: A Common-Volatility Tilt [Aligrithm]Pham, Han, Nguyen, Pham and Do build one index and then trade it backwards. In Section 5.4 they write that an RCI near zero marks "widespread panic selling and a potentially buying opportunity," and that exuberance at the top "can indicate a market peak and a potential selling(...) How long should you wait before trading a newly listed perpetual? [Daru Finance]Crypto exchanges list new perpetual futures every week, and Binance alone has listed 832 USDT-margined perpetuals, so a research universe built on that exchange mixes contracts listed last week with contracts that have traded for years. Both kinds usually share one cost assumption and one strategy(...) A sad day for the quant vol trading community, Vance is gone [Six Figure Investing]Vance Harwood passed away in September 2026 after a brief and very unexpected illness. Any clients who have posted orders can get their payments refunded via the platform chosen for payment. May his best live on in others. Should you have any important questions or concerns, contact Heidi Nordberg:(...) Do Airline Stocks Take Off Around U.S. Holidays? [Quantpedia]Holidays put people in motion. In the days surrounding major U.S. holidays, airports become busier as travelers visit their families or take advantage of extended weekends. Financial markets themselves are known to display a holiday-related seasonality. In our previous research on the Pre-Holiday(...) 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(...) VIX regime factor tilt against a fixed factor blend, S&P 500 walk-forward 2006 to 2025 [Quanter Lab]A regime tilt is bought as insurance: lean into momentum while the market is calm, into quality when it is stressed, and keep your head in a crash at little cost in between. The premium is rarely priced with the rule held fixed, because most tests choose the thresholds after seeing the crashes. This(...) The Invisible Drawdown: 150 Years of Cash Returns [Beyond Passive]There is 150 years of data on stocks, on bonds, on gold, and on property. On the asset most people actually hold, there is almost nothing. Cash has no volatility, so there seems to be nothing to measure. That turns out to be the wrong conclusion. What is actually guaranteed A Treasury bill promises(...) Is Trend Still Your Friend? A Microstructural Explanation for Demise of Short-Term Trend-Following [Alpha Architect]Trend following is one of the oldest and most persistent anomalies in finance. The evidence that recent winners continue to outperform recent losers has been documented across virtually every liquid asset class, stretching back at least two centuries. It stands in direct opposition to the Efficient(...) Overnight returns on the S&P 500: close-to-open premium, trading costs, and why NightShares funds closed [Quanter Lab]The overnight gain is real. Since 1993 nearly everything the S&P 500 paid came between the close and the next morning's open, and a dollar held in SPY only overnight ended more than ten times above a dollar held only through the trading day. Every year someone puts this back into(...) Trend Quality Near Settlement: A Kalshi State Variable, Not Alpha [Aligrithm]A 70.8% continuation rate looks like a trade. Greene sorts 4,061 Kalshi contracts by the quality of their price trend over the window from 30 to 12 minutes before close, and the top decile keeps moving in the trend's direction 70.8% of the time against 51.2% in the bottom decile. Ex-post(...) Addendum: five more weeks of data [Tommi Johnsen]When we published that piece we said a re-test was scheduled and that we would report it whichever way it came out. It has now run, on data through 18 September. Here is what it found, and what it changes. The short version. On all the data together the result is stronger and cleaner than what we(...) Macro demand factors and rates trading strategies [Macrosynergy]Macroeconomic theory suggests that aggregate demand for goods and services is a key determinant of interest rates. Interest rates regulate demand strength or weakness through market-based financing conditions and central-bank reaction functions. If financial markets do not immediately incorporate(...) Fama-French factors inside the S&P 500: walk-forward 2006 to 2025 [Quanter Lab]Fama and French sort every US stock on the signal at the end of June, hold the top thirty percent weighted by market value, and quote the spread against the bottom thirty percent. A fund that sells the factor holds something near that, restricted to large caps. A private investor who reads about the(...) Momentum Mini-Portfolio Development - Part 3: ASX Momentum [TradeQuantiX]As many of you know, I trade the US, ASX (Australian), and TSX (Canadian) markets systematically. And hopefully in the near future I’ll be adding even more markets. It puzzles people why I trade markets other than the US. The US has to be the best, right? It’s the biggest and has the most(...) The Activist Who Only Won Among the Survivors [Dead Signals Lab]The first two autopsies of this series documented two species of the same family of errors: the inclusion look-ahead, which contaminates the list of names that enter the backtest, and the execution look-ahead, which contaminates the price at which the purchase is assumed to have happened. The(...) Predictive Value of Within-Strategy Permutation Tests for Forward Selection [Daru Finance]A large-scale empirical test of whether within-strategy Monte Carlo permutation testing, a standard validation step in quantitative strategy development, actually improves forward-looking strategy selection. Across 437,911 strategy configurations on nine instruments spanning crypto, forex and(...) Do Intra-Bar Timestamps Carry Alpha? OHLC + Timing Features [Aligrithm]Bloomberg started selling the clock inside the bar. Not just the high price for the minute, but the second at which the high printed, the same for the low, the first and last trade times, condition-code tick counts, and a Bloomberg VWAP for the interval. Ruslan Tepelyan trained three neural networks(...) Tom Carlson’s Adaptive 60/40 Portfolio: Momentum-based Selection of Stock Diversifiers [Portfolio Optimizer]Welcome to 2026, where bonds no longer diversify stocks, volatility remains elevated and inflation isn’t going anywhere1. This is the dramatic, although factual, opening of Basis Points’s video Morgan Stanley’s asset allocation playbook for the next 5 years. As a consequence, the 60/40(...) Do Analyst Upgrades Beat the Market? We Scored 22,000 Rating Changes [Talval]Every trading day brings a wave of upgrades and downgrades, each one moving a share price and none of them ever audited. The reason is mundane: to score a call you need the price on the day it was made, and that is the one thing almost nobody keeps. We keep it. Our records hold 149,587 analyst(...) Piecewise-Linear Regime Identification (Interpretable, No Black Box) [Aligrithm]Fit a connected piecewise-linear trend to the Swiss Leaders Index with fifteen breakpoints and you get an in-sample R-squared of 0.954. Fit the same model to a driftless random walk of the same length and you get 0.966. I ran 200 of them. The noise wins at every single value of K, from zero(...) Barrier Crossings to Terminal Distributions: Skellam-Based Options Pricing for 0-DTE Markets [Quantpedia]The explosive growth of hyper-liquid 0-DTE markets has pushed traditional options pricing infrastructure to its breaking point, as continuous Black-Scholes calculus can collapse into an unusable point mass at expiration. Rather than patching a broken formula with hand-fitted tweaks, a new paper(...) Reflexivity and the Dynamics of Option Markets [Relative Value Arbitrage]Reflexivity is the process through which market participants’ actions influence the very market variables on which their decisions are based, creating feedback effects. In this post, we discuss how reflexivity manifests itself in options hedging and how it can be explicitly incorporated into(...) Piotroski F-score backtest on the S&P 500, point in time, 2000 to 2025 [Quanter Lab]Piotroski's F-score is the screen every value investor has run: nine yes-or-no questions on the last two annual statements, a point for each yes, buy the eights and nines. Piotroski (2000) built it for the cheapest fifth of the market by book-to-market, where a positive return on assets was(...) Strategy Recalibration Breakout [Handelsmeisterei]This report evaluates the Breakout strategy through signal diagnostics, parameter selection, robustness testing, and portfolio integration. It examines whether historical performance holds up under recent conditions and whether the strategy adds value to the portfolio. Despite strong results over(...) Dividend capture strategy backtest [Quanter Lab]Dividend capture is sold as income on a calendar: buy the stock at the close before the ex-date, the payment is yours, sell the next day. On the ex-date the price falls, and the trader keeps only the part of the payment the price did not take back, minus the spread both ways. Elton and Gruber(...) The Wisdom of 100 Strategies: Using Aggregate TAA Allocation as a Trading Signal [Allocate Smartly]We track 100+ Tactical Asset Allocation (TAA) strategies. A unique feature of our platform is our Aggregate Allocation Report, a daily snapshot of the average asset allocation across all of the strategies we track. To illustrate, in the graph below we show the aggregate allocation over the last 3(...) The Missing Asset: 120 Years of Global Stocks, Bonds and Gold Through Inflation Regimes [Beyond Passive]The first two articles in this series measured what one country’s stocks and bonds did over 150 years and found that the country decided most of it. This one holds all sixteen, adds gold, and asks what the combination does in each economic regime, and whether the trend rule from the fourth(...) European country rotation vs sector rotation [Quanter Lab]Every European rotation system in circulation treats the country as the unit of risk. The people who run these books rank Germany against Spain against Sweden and call the result a country bet. A European country index is a concentrated sector bet: banks carry the south, pharma and staples carry(...) Not another one! My fifth book... [Investment Idiocy]Well yes, I am pleased to announce that as of this week I completed final proof reading of my new book "The Art And Science of Trading"(AAST). It joins the list of my existing books with their own acronyms: Systematic Trading (ST), Smart Portfolios (SP), Leveraged Trading (LT) and Advanced(...) Ghost Members. Recipe for Reconstructing Historical Membership of S&P 500 from Public Sources [Dead Signals Lab]The previous note showed that a backtest with a net Sharpe of 0.63 fell to −0.06 upon applying a single filter: the point-in-time membership of the index, that is, knowing with precision which companies belonged to the S&P 500 in each month of the sample. It should be noted that a paradox was(...) Post-earnings-announcement drift decomposed by earnings predictability and gross profitability [Quanter Lab]Nine cohorts are cut at every anchor from the point-in-time S&P 500, three terciles of earnings predictability crossed with three of gross profitability, and each walks twenty sealed one-year windows from 2006 to 2025 at four holding periods in two book shapes: a long-short book that buys(...) Do LLM “Crowds” Produce Investment Signals? An Empirical Test [Quantpedia]The integration of artificial intelligence into algorithmic trading has ignited a race to transform generative text into systematic alpha. A new paper written by Steven Edwards empirically investigates whether constructing a synthetic consensus using large language models can simulate information(...) Post-earnings announcement drift 2006-2025 [Quanter Lab]The drift the academic literature describes does not pay in large caps: form the classic quarterly surprise book and the grid nets -0.5 percent a year across eleven sectors and twenty years. The reaction to the earnings number itself still does: enter each company the day its own number is known and(...) The Quantish Research Harness [Quantish]Over the past year I built an operating system for quantitative trading research: a harness that lets AI agents run the grunt work of strategy development end to end, inside rails that make self-deception structurally difficult. It recently carried two strategies from an empty folder through the(...) Gold and macro factors [Macrosynergy]Trends in gold returns can be partly explained by the macroeconomic environment. Persistent monetary easing, dollar stability risks, and weak economic sentiment can each drive sustained demand for gold. This article shows how to construct simple point-in-time macro factors that capture these themes(...) What Daily Stock Returns Tell Us About the Economy [Alpha Architect]One of the most enduring puzzles in finance is the apparent disconnect between Wall Street and Main Street—markets sometimes soar while the underlying economy stumbles, and vice versa. Paul Samuelson famously quipped that “the stock market has predicted nine out of the last five recessions”(...) CAPM after Markowitz: Portfolio Choice Meets the Market [Spatium Novum]Beta began as a way to compress a covariance matrix. The CAPM turned it into the equilibrium measure of exposure to aggregate market risk, priced by the market premium. Markowitz maps beliefs to portfolios. With common beliefs, a risk-free asset and market clearing, the CAPM adds one decisive(...) I built paper-spec crypto strategy on 5.8 years of data. It's lost money every year since 2024 [Strat Proof]The literature on crypto quant trading keeps citing cross-sectional momentum as a durable edge with Sharpe around 1.1 to 1.5. I built exactly the paper spec, ran it against 303 weekly rebalances across 10 majors, no parameter tuning, no regime filters, no cheating. Annualized Sharpe came out at(...) EigenScore is Live: The First Rated Contest Platform for Quants [Vertox Quant]For the past months, almost every free hour I had went into one thing. Today it’s live. eigenscore.com In quant, everyone claims to be good, and there's no arena to settle it. Competitive programming solved that twenty years ago with rated contests. I built the same thing for us. What it is(...) Dalio Holy Grail walked 2008-2025 [Quanter Lab]The most liquid fund shelf a person can buy holds 3.3 independent bets. Dalio's chart needs fifteen. The Holy Grail of investing, in his words: find fifteen good, uncorrelated return streams and risk falls by roughly eighty percent while return stands still. At correlation zero, fifteen equal(...) 2x Your Portfolio Every Year: How I Turbocharged the Overnight Effect [Paper to Profit]For those unaware, you generally make more money overnight than you do during the day when holding stocks. So much so that even if you just held the SPY overnight (buy at close, sell at market open the next day), you would net considerably more than if you held it during the day (buy at open, sell(...) A Sharpe of 2.1 From Nothing: The Second Number Your Agent Doesn't Log [Jonathan Kinlay]I gave a research agent four years of prices with no predictable structure in them — none, by construction — and it came back with a long/short book, an in-sample Sharpe of 2.1, and a paragraph explaining the economics of an effect that does not exist. That is the measurement in this post. The(...) All Weather built and tested against inverse vol, ERC and a 60/40 [Quanter Lab]People usually take All Weather for the fixed allocation Dalio gave Tony Robbins, which is the one every retail article prints, but that one is All Seasons and it carries no borrowing at all. All Weather proper is risk parity borrowed up until the book carries a 60/40's volatility, which means(...) Stock-Bond Correlation: The Sign Flips and So Do Its Drivers [Aligrithm]A 50/50 stock-bond portfolio that earned its target return with moderate volatility before 2000 requires an 80/20 allocation after 2000 to maintain the same profile. That 30-point shift is not a style choice or a bet on equities. It is the portfolio adjustment needed to compensate for the stock-bond(...)