This is a summary of links recently featured on Quantocracy as of Tuesday, 06/03/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Off to the Races: A Universal Metastrategy [Paper to Profit]We often have baskets of assets that we turn into trading strategies. But also, we have baskets of trading strategies that we need to allocate our capital into. In my last post (here), I demonstrated how to use generative AI to create a theoretically limitless supply of trading strategies. But, this is no good unless those strategies actually make money. Backtests tell us what happened, but
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Weekly Research Recap [Quant Seeker]Anomaly Persistence and Nonstandard Errors (Coqueret and Perignon) Many investing anomalies seem compelling, but their performance often depends on how they're tested. This paper demonstrates that overlapping design choices, such as holding periods and weighting, create strong correlations between results, making strategies appear more robust than they actually are. The authors propose a
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Quickies #1: Overfitting and EWMAC forecast scalars [Investment Idiocy]I'm now in full book writing mode, so I don't have the time to do full blog posts. Instead I plan to do a series of quick posts where I share some research I did for the book. Cynically, there is also a chance it will encourage you to buy the book, as long as I don't overshare like one of those movie trailers that gives away the plot and includes all the best action scenes.
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Data: Range, Renko, Filter and Volatility bars [Trading the Breaking]You are observing the markets in real-timethousands of price ticks cascading across your screen, each reflecting a momentary shift in supply, demand, and sentiment. At first glance, the data appears evenly spaced, structured, and regular. Yet beneath this surface lies a deeper asymmetry: the rhythm of market activity is not governed by the uniform cadence of the wall clock, but by the irregular
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Explaining overnight returns in the US [Joachim Klement]Older people among my readers will remember the time when there was for a while a discussion about how the US stock market had significantly higher returns between yesterdays close and todays open (when there were no trades at all) than during the day. Those were the innocent days of an era long gone, aka 2018, when we were all nave and enthralled by a bull market that couldnt
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Volatility of Volatility: Insights from VVIX [Relative Value Arbitrage]The volatility of volatility index, VVIX, is a measure of the expected volatility of the VIX index itself. In this post, we will discuss its dynamics, compare it with the VIX index, and explore how it can be used to characterize market regimes. Dynamics of the Volatility of Volatility Index, VVIX The VVIX, also known as the Volatility of Volatility Index, is a measure that tracks the expected