This is a summary of links recently featured on Quantocracy as of Tuesday, 06/30/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Guardrails Make the Researcher: What an AI Agent Got Right (And Wrong) [Quantpedia]An autonomous research agent replicated nine published US-equity anomalies on clean, survivorship-free data. The question is not only what it found (out-of-sample decay is the rule, and on a faithful build none survive the lone apparent survivor turned out to be a construction error the discipline caught) but whether you can trust an agent to find it, and the checks that decide the answer. Can
-
One of These Things Is Not Like the Others. Or is it? Pooling rule p&l estimates [Investment Idiocy]This is the eighth post in a series I'm writing on portfolio optimisation. I haven't done one of these for a few posts, so here is the story so far: In the first post I showed that if you are optimising across forecasts from different trading rules and instruments, then you should first fit within; and then across, instruments. As I do anyway. In my second post I ran some experiments
-
Rolling, rolling, rolling…. updating statistical estimates yes or no [Investment Idiocy]The mega blog post series on portfolio optimisation continues! A couple of posts ago, here, I looked at using the idea of formal testing for structural breaks in parameter estimates. Important parameters like Sharpe Ratio (SR). Because stuff like this happens: This is the pre-cost performance of the momentum4 rule on CORN. The formal test found a structural break in 1989. It's fair to say the