This is a summary of links recently featured on Quantocracy as of Tuesday, 07/14/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Investing in “Distressed” TAA Strategies (Redux) [Allocate Smartly]This is the fourth installment in our series on selecting Tactical Asset Allocation (TAA) strategies based on recent performance. Read parts 1, 2 and 3. In our previous studies we selected strategies based on recent return. In this study, we select distressed strategies, or strategies nearing or exceeding their previous max drawdown. We looked at this subject way back in 2020 and concluded
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Moving Averages and Harness Engineering for +33% CAGR on Portfolio Optimization [Paper to Profit]Moving averages are the first fools errand we make as traders. If only it was smoother, but still responsive. Predictive, not just reactive. And so many hours are lost clicking through TradingView PineScripts or MetaTrader indicators trying to find the Holy Grail amongst muck. 9 Types of Forex Trading Strategies Just one more indicator, bro. I swear. Were almost there. But maybe its not
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The Random-Max Percentile: Grading Every Backtest Against Its Search’s Random Maximum [Rulyfi]Key Takeaways RMP (Random-Max Percentile) is a new per-row column in our scan results and paid-plan exports: the probability that the best result pure chance could produce, across the N trials your scan actually ran, lands below this row. An RMP of 0.97 reads: even the luck record of a search this size sits below this row with 97% probability. It exists because deflated Sharpe has a blind zone.
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The Intramonth Momentum Cycle [Alpha Architect]Momentum investing has been one of the most persistent and puzzling phenomena in finance for more than three decades. Traditional explanations typically focus on investor psychology, delayed information diffusion, or risk compensation. But this paper proposes something radically different. The authors argue that momentum profits are largely driven by institutional cash-management mechanics.