This is a summary of links recently featured on Quantocracy as of Tuesday, 07/21/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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I Mastered Chaos Theory to Develop a 3.275 Sharpe FX Strategy [Paper to Profit]Chaos theory is a fancy topic that alludes to a world almost as mystic and mysterious as quantum physics. Everyone has heard of it, but not many people really know what it means or how to use it. A Mandelbrot Set, or infinitely complex shape described by a simple formula, a classic example of chaos theory where simple rules create complex results. Fortunately for us, you cant judge a book by
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Can Machines Learn Weak Signals? Ridge > Zero > Lasso [Aligrithm]Feed 920 firm characteristics into a Lasso to predict next month's stock returns and it will do something that should stop you cold: it loses to a model that predicts zero for every stock. Not "underperforms a good benchmark." Loses to the number 0. Shen and Xiu prove this is not bad luck or a coding bug. In the regime where economics and finance actually live, where signals are
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Daily Long/Short Trend Following: Parameters, Asset Classes, and Universe Depth [Delphic Alpha]I ran the same trend-following strategy across futures, stocks, FX, and crypto. On futures it produced a net Sharpe of 0.73. Crypto came in at 0.56. US stocks barely broke even at 0.42. FX was marginal at 0.24. Same signal, same methodology, four very different outcomes. All four have near-zero correlation to the S&P 500. The difference isn't the signal. It's the market. This is a
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Are 0DTE Straddles Overpriced? We Tested 193 SPY Sessions (2022-2026) [Flash Alpha]Are 0DTE straddles systematically overpriced? It is probably the most argued question in options trading since daily expirations took over SPY volume – and it has a testable answer. We replayed 193 Wednesday sessions from July 2022 through April 2026 on the FlashAlpha Historical 0DTE endpoint, snapshotting the same-day straddle at 10:00 ET and comparing its implied move to what SPY actually did