This is a summary of links recently featured on Quantocracy as of Tuesday, 04/29/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Front-Running Seasonality in Country ETFs: An Extended Test [Allocate Smartly]This is a test of a dynamic seasonality strategy from Quantpedia that selects from 23 individual country ETFs. Weve extended the authors test by 30+ years using MSCI index data. Backtested results from 1971 follow versus an equal-weight benchmark of those 23 country ETFs (1). Learn more about what we do and follow 90+ asset allocation strategies in near real-time. Note: for reasons we
-
Quantpedia Awards 2025 Countdown [Quantpedia]Hello all, Just little over 24 hours remain until the end of the deadline for QUANTPEDIA AWARDS 2025 April 30th, 2025, at 23:59 UTC. Join the competition now, and dont miss out on this chance to showcase your skills! Alternatively, if you cant (or dont want) to join, then please help us spread the word and let people in your professional network know!
-
Finding an Edge in IPOs: Research and a Backtested Mechanical Trading System [Cracking Markets]Ever heard the term "IPO" thrown around in financial news? Let's break down what it means and why it might be interesting for systematic traders. What Exactly is an IPO? "IPO" stands for "Initial Public Offering." It's the very first time a private company offers its shares (stock) to the public on a stock exchange. Think of it as a company's big debut
-
How Speculative Money Flows into Crypto [Unexpected Correlations]Compared to traditional futures or equities, crypto markets offer greater transparencythanks primarily to the public blockchain and also to the unique culture that shaped the industry. This opens up new opportunities for investors and traders to monitor and measure liquidity dynamics that are otherwise hidden in conventional markets. Weve outlined a base framework to systematically identify
-
How Tiny Price Differences Help Track Small Investors Trades [Alpha Architect]This article explains how researchers studied small investors trading habits by looking at tiny price differences, called subpennies, in stock trades. They found that the current method to identify these trades isnt very accurate. By using a new approach, they improved the accuracy, helping to better understand how small investors buy and sell stocks. A (Sub)penny for Your Thoughts: Tracking
-
Short-Term Correlated Stress Reversal Trading [Quantpedia]Short-term reversal strategies in U.S. large-cap equity indexes, such as the S&P 500, are well-documented and widely followed. These reversals often occur in response to brief periods of market stress, where sharp declines are followed by quick recoveries (as we have experienced in the last few weeks). Traditional approaches typically identify such stress periods using only the price action of
-
Boosting macro trading signals [Macrosynergy]Boosting is a machine learning ensemble method that combines the predictions of a chain of basic models, whereby each model seeks to address the shortcomings of the previous one. This post applies adaptive boosting (Adaboost) to trading signal optimisation. Signals are constructed with macro factors to guide positioning in a broad range of global FX forwards. Boosting is beneficial for learning