This is a summary of links recently featured on Quantocracy as of Monday, 05/11/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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“Surfing the Equity Curve”: Using Trend-Following to Switch Strategies On and Off [Allocate Smartly]This is the third installment in a series on selecting Tactical Asset Allocation (TAA) strategies based on recent performance. Read Part 1 and Part 2. We advocate combining multiple TAA strategies together into Model Portfolios to limit the risk of any single strategy underperforming. In our previous studies we selected strategies for our Model Portfolio based on recent return. In this
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Martyn Tinsley – Beyond the BackTest [Algorithmic Advantage]Even if you have skill, you can look wrong for a very long time. Cliff Asness A backtest (or even many of them) can tell you whether a strategy survived a historical test. It cannot tell you whether you were testing the right idea, in the right way, for the right purpose. That gap matters. There are plenty of methodologies for minimising over-fitting and increasing confidence that an
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A Day Is Now What a Decade Used to Be [Tommi Johnsen]Why does sentiment predict returns at all? The textbook answer is that markets are slow. A positive headline drops at 4:01 PM. By 4:30, sell-side analysts at maybe a dozen banks are scrambling to update their models. By 6 PM, three of them have published preliminary notes. By 9 AM the next day, the buy-side has read those notes, decided, and placed orders. By close on day one, the price reflects