This is a summary of links recently featured on Quantocracy as of Tuesday, 03/31/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Selling Volatility: The Most Seductive Backtest in Finance [Quantt]Here is a strategy with a thirty-year track record. Sell one-month at-the-money put options on the S&P 500, collateralised by Treasury bills. Roll monthly. That is the entire strategy. The CBOE PutWrite Index (PUT) tracks exactly this approach. From June 1986 through December 2018, it returned 9.54% annually – within touching distance of the S&P 500's 9.80%. But here is the part that
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Coding the largest strategy ever [Financial Hacker]Recently I got a quite unusual job: Heres a trading system for the TradeStation platform. Its a bit large about 3000 lines of EasyLanguage code. Please replicate that monster in C++ so that it runs on the Zorro platform, but still produces the same trades as on TS. While youre at it, fix any bugs that you encounter in the EasyLanguage code. You have 2 weeks. Good luck. The strategy in
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Breaking the Rules of Intraday Trading [Concretum Group]Quantitative research is, at its core, about following rules. As in any other STEM discipline (science, technology, engineering, and mathematics), precise frameworks give research rigor, discipline, and comparability. Yet, because such frameworks often remain unquestioned, challenging one of their constraints on purpose can sometimes be an informative experiment. In intraday trading, the first and