This is a summary of links recently featured on Quantocracy as of Tuesday, 01/20/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Gold Cross-Asset Momentum [Allocate Smartly]This is a test of a simple and effective gold trading strategy from Cyril Dujava of Quantpedia with his research: Cross-Asset Price-Based Regimes for Gold. Backtested results from 1970 follow. Results are net of transaction costs see backtest assumptions. Learn about what we do and follow 100+ asset allocation strategies like this one in near real-time. Logarithmically-scaled. Click for
-
Portfolio Optimization [Quantitativo]An investor who knew future returns with certainty would invest in only one security. Harry Markowitz We dont know the future. This is why we intuitively spread our bets. Harry Markowitz turned that intuition into algebra. In 1952, he published a paper that gave diversification a rigorous mathematical foundation, proving not just that it works, but exactly how much of each asset to
-
AI is no longer an experimental tool in finance [Tommi Johnsen]But it is increasingly the way markets get read, sized up, and traded. If you work with stocks, youve probably felt it already. The advantage isnt just speedy spreadsheets. The advantage is the ability to chew through messy, human language like headlines, filings, earnings-call transcripts, social chatter, and turn it into usable signals. The unfair advantage of large language models (LLMs)
-
The Many Facets of Stock Momentum [Alpha Architect]Stock momentum has long been a workhorse idea. Buy recent winners. Sell recent losers. Critics argue those profits mostly come from riding factor trends like value, size, or industry tilts. This paper pushes back. It shows there is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum