This is a summary of links recently featured on Quantocracy as of Wednesday, 05/21/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Cliff Smith’s BKLN Strategy [Allocate Smartly]Questions about this long-ago strategy from Cliff Smith land in our inbox periodically (heres another recent take). Smiths simple strategy trades senior loan (aka leveraged loan) ETFs like BKLN, and has continued to be effective at timing these ETFs in the 10+ years since it was published. Weve extended the authors original test back to 2007 using underlying index data (*). Important:
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Comparing Affordable Intraday Data Sources: TradeStation vs. Polygon vs. Alpaca [Cracking Markets]When building an intraday systematic strategy, the quality and consistency of historical data can make or break your trading results. Cost, however, is also a critical factor for many traders. We conducted a comprehensive analysis comparing three popular data providers offering REST APIs for intraday minute-level data: TradeStation, Polygon.io, and Alpaca. These providers differ significantly in
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Could data drift be silently sabotaging your PnL? [Trading the Breaking]In the day-to-day grind of systematic trading, volatility isnt just a market featureits the atmosphere we operate in. It drives the edge, defines the risk, and sets the tempo. But while volatility creates the conditions for profit, it also contains the seeds of our destruction. That tensionbetween opportunity and ruinsits at the heart of every execution cycle. And thats precisely
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Is Machine Learning Better in Prediction of Direction or Value? [Quantpedia]Building machine learning models for trading is full of nuances, and one important but often overlooked question is: what exactly should we try to predictthe direction of the next market move or the actual value of the assets return? A recent paper by Cheng, Shang, and Zhao, titled Direction is More Important than Speed offers a clear and practical answer. Their research shows that