This is a summary of links recently featured on Quantocracy as of Wednesday, 07/23/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Validation framework [Trading the Breaking]Look, anyone can show you a backtest with a nice Sharp. I've seen a thousand of them. The question I always ask is simple: Is this real, or did you just get lucky? Did you find a genuine edge, or did you just curve-fit the hell out of the last ten years of data? A pretty equity curve from the past tells you what happened. It tells you nothing about whether it will keep happening. So, we stop
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Why the Last Few Minutes of Trading Might Matter More Than You Think [Alpha Architect]This paper reveals a striking pattern in U.S. stock markets: the prices of individual stocks often reverse direction at the very end of the trading day. Using high-frequency data, the authors find that the last few minutesparticularly the closing auctionare dominated by large institutional flows that cause temporary price pressure. This is followed by a reversal the next day. This
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Weekly Research Recap [Quant Seeker]News Sentiment and Commodity Futures Investing (Yeguang, El-Jahel, and Vu) While momentum and carry strategies are well-known in commodities, this paper shows that weekly news sentiment from financial media also predicts returns. Using Refinitivs MarketPsych indices, the authors construct long-short portfolios that deliver strong risk-adjusted returns, even after accounting for costs. Combining