This is a summary of links featured on Quantocracy on Saturday, 08/05/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Integrating the No-Code Quant Backtester into the Russian Doll Engine [Hanguk Quant]We started off with the conceptualisation of trading alpha in different abstract representations, such as mathematical formulas, graphs and visual representations: Alpha-Encoding Data Structures Alpha-Encoding Data Structures HangukQuant Jun 30 Read full story For machine trading this would require a convenient translation between the different representations onto computer bits, and we
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Why Backtests Run Fast or Slow: A Comparison of Zipline, Moonshot, and Lean [Quant Rocket]Backtest speed can significantly affect research friction. The ability to form a hypothesis and quickly get an answer from a backtest allows you to investigate more hypotheses. In this article, I explore several factors that affect backtest speed and compare the performance of 3 open-source backtesters. The backtesters I compare are: Moonshot, a vectorized backtester written in Python Zipline, an
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The Low-Beta Anomaly: are its returns justified? [Alpha Architect]The low-beta anomaly for the capital asset pricing model (CAPM)low-beta stocks outperform high-beta stockswas first documented more than 50 years ago by Fischer Black, Michael Jensen, and Myron Scholes in their 1972 paper, The Capital Asset Pricing Model: Some Empirical Tests. In our 2016 book, Your Complete Guide to Factor-Based Investing, Andrew Berkin and I presented evidence