This is a summary of links recently featured on Quantocracy as of Wednesday, 09/17/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Robust optimization protocol [Trading the Breaking]Parameter optimization is where good ideas go to either earn their keep or quietly fail. Given a fixed modeling recipe, the optimizer will always return a winner; what it cannot tell youunless you force it tois whether that winner is real. Financial data are dependent, heteroskedastic, regime-prone, and thin on signal. In that environment, any single backtest split can crown a parameter
-
Weekly Research Recap [Quant Seeker]News Sentiment and Commodity Futures Investing (Yeguang, El-Jahel, and Vu) Media news sentiment is a priced factor in commodity futures. A weekly longshort strategy, buying commodities with the most positive sentiment and shorting those with the most negative, delivers an 8.3% annualized return with a Sharpe ratio of 0.45, after costs. The premium remains significant after controlling for
-
Macro trading factors: dimension reduction and statistical learning [Macrosynergy]Macro trading factors are information states of economic developments that help predict asset returns. A single factor is typically represented by multiple indicators, just as a trading signal often combines several factors. Like signal generation, factor construction can be supported by regression-based statistical learning. Dimension reduction is particularly useful for factor discovery. It is
-
Profitably Trading the SPX Opening Range. Code Included. [Quantish]This promising strategy comes from Option Alphas comprehensive research on trading SPX breakouts with zero-day-to-expiration (0DTE) credit spreads selling one option while buying a further OTM option for protection, collecting premium with defined risk. If youre not famliar with Option Alpha, and are serious about trading options, I highly recommend you check them out! (Disclosure: Im
-
Weekly Research Recap [Quant Seeker]The trade imbalance network and currency returns (Hou, Sarno, and Ye) While past work links a countrys trade balance to predictability of FX returns, this study shows that its position in the global network of deficits and surpluses matters too. The authors create a centrality-based measure (CBC), finding that going long highly central currencies and shorting peripheral ones delivers a Sharpe