This is a summary of links featured on Quantocracy on Wednesday, 02/10/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
Three types of systematic strategies that “work” [Robot Wealth]Broadly, there are three types of systematic trading strategy that can work. In order of increasing turnover they are: Risk premia harvesting Economically-sensible, statistically-quantifiable slow-converging inefficiencies Trading fast-converging supply/demand imbalances This post provides an overview of each. 1. Risk Premia Harvesting Risk Premia Harvesting is typically the domain of wealth
Second chances with momentum [Quant Dare]A couple of days ago we were seeing in the news the story about GameStop, and how small investors made some hedge funds abandon their short-selling positions after some big losses. After reading the article I couldnt resist thinking about short-selling strategies and their performance in the stock market. In todays post, and hoping to find an answer, we will try to evaluate the impact of
Persistent Moves To New Highs Rarely End Abruptly [Quantifiable Edges]I have not posted many price-action studies to the blog lately, so I thought I would share this one from last nights subscriber letter. A theme I have seen many times over the years is that persistent uptrends dont often end abruptly. The study below is an example of this. It considers what happens after the market moves up at least 5 days in a row to a 50-day high, and then pulls back. $SPX