This is a summary of links recently featured on Quantocracy as of Sunday, 06/22/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Science and Practice of Trend-following Systems: paper and presentation [Artur Sepp]I would like to introduce the updated draft of my paper co-authored with Vladimir Lucic and entitled The Science and Practice of Trend-following Systems. Trend-following systems have been employed by many quantitative and discretionary funds, also known as commodity trading advisors (CTAs), or managed futures, since the early 1980s. Richard Dennis, a commodity trader on the CME, organised
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Ask Me Anything with Euan Sinclair [Robot Wealth]In this Ask Me Anything, Euan addressed the following questions: Key lessons from wacky genius Victor Niederhoffer Euans journey from market maker to sports bettor to options trader What are the most important predictors for options trades? Where can we find good long vol trades? What is the minimum viable tech stack for an options beginner? Is it reasonable to harvest a VRP with ETPs vs
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The Surefire Ratio: My Custom Risk Ratio that Supercharged My Investing [Paper to Profit]Weve all used it. Its seen as the gold standard of investment metrics. But the Sharpe ratio is a dated formula that takes a naive assumption on the market and runs us into walls. It has no concept of prolonged drawdowns or causality, and those that continue to use it as the gospel are quantitative luddites handicapping their own success. But get this: With a simple financial ratio, we