This is a summary of links recently featured on Quantocracy as of Thursday, 07/03/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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PCA analysis of Futures returns for fun and profit, part 1 [Investment Idiocy]I know I had said I wouldn't be doing any substantive blog posts because of book writing (which is going well, thanks for asking) but this particular topic has been bugging me for a while. And if you listened to the last episode of Top Traders Unplugged you will hear me mention this in response to a question. So it's an itch I feel I need to scratch. Who knows, it might lead to a
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Testing 87 Different Stop Loss Strategies [Paper to Profit]Stop losses are a way of life for a trader. They are often do or die in situations of intraday and leverage trading. However, we think that the gold standard is the average trailing stop. Maybe we add an ATR band to it if we are feeling fancy. But the reality is that there are much more effective stop loss strategies that exist. And, these strategies are not part of the mainstream.
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Learn from the Source [Anton Vorobets]This newsletter gives you the last opportunity to get access to the Applied Quantitative Investment Management course at the best price. I will share the first lecture on Thursday, July 3rd. After that, the subscription price will increase from the current 100 per year. The subscription will give you access to video lectures, their slides, and a chat where you can ask me questions about the
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Weekly Research Recap [Quant Seeker]How Efficient are Static Multi-Asset Portfolios? Evidence from Institutional Capital Market Expectations (Bni, Bruggermann, and Kroencke) Many investors rely on fixed-weight portfolios like the 60/40 split or equal-weighted, assuming these simple approaches are efficient. This paper challenges that belief, showing that they can be improved using forward-looking data. The authors incorporate