This is a summary of links featured on Quantocracy on Tuesday, 09/21/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Look-Ahead Bias, and Why Backtests Overpromise [Enjine]The Korean drama Sisyphus is a story about a couple of heroes who struggle against a villain from the future. Villains need deep pockets to pull off large schemes, and in Sisyphus case, the villain amasses his wealth by using his knowledge of the future to make money on the stock market. In one scene, he is seen taking a massive short position on the stock market on the eve of September
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Monday s Strong Selling & New Lows Triggered This Historically Bullish Setup [Quantifiable Edges]Many studies identified by the Quantifnder Monday afternoon showed the strong selling and closing lows to be potentially bullish. And Turnaround Tuesday is typically the best day for a bounce to begin. The study below considered the long-term uptrend, intermediate-term low, and strong selling on Monday. SPX big drop to a low clos on a Monday has led to consistent bounces during uptrends. The only
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ESG Ratings are Noisy. Buyer Beware [Alpha Architect]ESG products have been flooding the market and it is difficult for investors to assess the ground truth. To make matters worse, with limited sample size periods and datasets, trying to determine evidence-based ESG insights, is challenging. Nonetheless, weve been covering the academic research on ESG investing as much as we can to empower investors through education. What weve found is