This is a summary of links recently featured on Quantocracy as of Tuesday, 05/13/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
-
How I Fused Momentum and Mean-Reversion to Achieve 20% CAGR on ETFs Since 2000 [Paper to Profit]We think of momentum and mean reversion as opposing forcespick one or the other. Yet, data from 2000 shows that blending both via a local adaptive learning filter produces 20% CAGR on liquid equities versus 8% buy-and-hold. Traders ignoring this hybrid edge are leaving significant extra returns on the table. In todays article, Ill walk you through how I built the LOAD strategya clean,
-
Bias-Variance Decomposition for Trading: ML Pipeline with PCA, VIF & Evaluation [Quant Insti]Welcome to the second part of this two-part blog series on the bias-variance tradeoff and its application to trading in financial markets. In the first part, we attempted to develop an intuition for bias-variance decomposition. In this part, well extend what we learned and develop a trading strategy. Prerequisites A reader with some basic knowledge of Python and ML should be able to read and
-
Weekly Research Recap [Quant Seeker]Time for another round of the latest investing research. Below is a curated list of last weeks highlights, each linked to the original source for easy access. Appreciate your continued support! If youre finding value in these posts, feel free to like and subscribe if you havent already. Bonds Cross-Bond Momentum Spillovers (Wang, Wu, and Yang) A large body of research has studied the