This is a summary of links recently featured on Quantocracy as of Sunday, 08/24/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Walk-Forward optimization [Trading the Breaking]I want to start by saying that the key is in the data, not in the model or its parameters. Therefore, if your data is garbage, no matter how much you parameterize it, the results will still be garbage. If you parameterize a model, it's to fine-tune something that already works. Period. Knowing that, we can proceed. The genesis of a strategy is often an elegant, compelling concept. This
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Laurens Bensdorp – Building Strategies with Purpose [Algorithmic Advantage]Theres a special place in trading graveyards reserved for the back-test that looked gorgeous on paper and then detonated in production. Ive been there. If you trade long enough, you will too. We all know the over-fittings issues, and Ill get into that, but theres another reason why back-tests can fail: the initial purpose is not matched to the right method. If we ask the wrong thing of
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The Best Strategies for FX Hedging [Quantpedia]Foreign exchange (FX) markets are a cornerstone of global finance, offering investors and corporations opportunities to manage currency risk, enhance returns, and optimize portfolio performance. Among the most critical challenges in FX is the design of robust hedging strategies to mitigate exposure to volatile currency movements. How does the financial industry deal with this task? We can draw
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Unlocking REIT Returns: Real Estate Investment Factors [Alpha Architect]As of 2024, real estate investment trusts (REITs) have cemented their role as a $1.5 trillion segment within global capital markets, offering investors a liquid and regulated gateway to commercial real estate. With robust dividend mandates, leverage restrictions, and transparent operations, REITs continue to attract both institutional and individual investors seeking diversification and steady
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Cesar Alvarez – A Novel Way to Combine Trend, Reversion, ETFs, Volatility & More [Algorithmic Advantage]When I sat down recently with Cesar Alvarez of Alvarez Quant Trading, I knew I'd be tapping into a deep reservoir of quantitative trading wisdom. Cesars journey into systematic trading began similarly to many of usstarting with discretionary trades, dabbling in mutual funds, and eventually stumbling into the quant world. From his early days at Connors Research to managing sophisticated