This is a summary of links recently featured on Quantocracy as of Wednesday, 04/22/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Backtests Lie: Building a Stress-Test Framework for ML Trading Signals [Vertox Quant]One of your first thoughts when looking at a strangers backtest is probably that its overfit, or that there is some look-ahead somewhere. When you go a step further, you are probably constantly worried about overfitting your own backtests too! In this article, we will introduce a framework that allows you to identify both! Its a two-stage approach introduced in D. Nikolopoulos (2026). We
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TradeLock: New site from ex-Quantocracy contributor Sanzprophet – build independently verified track recordForward records for strategies people can actually inspect. TradeLock helps managers and signal providers turn live strategy intent into a forward-tracked public record that is harder to fake than a backtest, PDF, or spreadsheet.
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Volatility Risk Premium and Clustering: Intraday vs Overnight Dynamics [Relative Value Arbitrage]The decomposition of risks and returns into overnight and intraday components is an emerging area of research. In this post, we examine how these components differ in terms of volatility clustering and the variance risk premium, and what this implies for forecasting, risk management, and strategy design. Breaking Down the Volatility Risk Premium: Overnight vs. Intraday Returns The decomposition of