This is a summary of links recently featured on Quantocracy as of Thursday, 08/20/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Momentum Mini-Portfolio Development – Part 2: USA Pullback Momentum [TradeQuantiX]Recently we kicked off the momentum mini-portfolio series. The first article was a TSX market dual-factor momentum system with a hybrid trend following type exit. The system turned out to be pretty robust after being run through a vast set of robustness tests. We also took a deep dive into minimum system allocation, as I felt that topic is not as well explored online. If you missed that one you
-
Two Strategies Past 80 Meaningless Versions of Themselves. Control Group Told Them Apart [Jan Heger]The other I threw away, and the only thing that told them apart was a control group that most people building trading systems never bother to build. Heres what the control saw that my eyes couldnt. Thanks for reading! Subscribe for free to receive new posts and support my work. What a control group is, and why trading skips it In a drug trial you dont just give people the drug and check
-
Metaheuristics for Rule Optimization With Diversity as the Guardrail [Aligrithm]Hernndez-Romo and co-authors ran four population-based optimizers 31 times each, 1000 generations per run, population of 50, tuning an eight-parameter moving-average strategy on five-minute BTC/USDC bars from January 2020 to March 2025. Differential Evolution won on average annualized return with 107.36%, against 92.05% for the Whale Optimization Algorithm, 73.47% for Particle Swarm and 61.80%
-
Model-Based or Data-Mined: Lotter’s Framing of the Whole Problem [Aligrithm]Johann Christian Lotter opens his workshop deck with four lines that do more work than most methodology chapters. A model is not the reality. The reality is unknown. The same reality can be described with many different models. The best model must be selected by experiment. Every argument in Pillar 1 reduces to those four lines, and the deck states them in under thirty words before showing a
-
Sectoral Intramonth Momentum Cycle: Exploiting Turn-of-the-Month Patterns in Sector ETF Strategies [Quantpedia]We document a persistent intramonth momentum cycle in U.S. sector ETFs that yields meaningful risk-adjusted returns when properly sequenced. Using the nine original Select Sector SPDR ETFs and SPY as the market benchmark from December 1998 through June 2026, we show that trailing 252-day sector momentum generates a positive spread on the first trading day of the monthand then sharply reverses