This is a summary of links recently featured on Quantocracy as of Tuesday, 08/25/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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FX Edge Lives in Other Markets (cross-asset series) [Aligrithm]A currency futures book built from other currency futures scores a Sharpe of 0.16. The same contracts, wired into a graph that also contains equities, bonds, and commodities, jump the FX sleeve to 0.66. That is Pu, Roberts, Dong, and Zohren, 64 futures, 2000 to 2022, volatility-targeted to 15%. Phylaktis and Yamani ran the pairwise version of the same instinct and got a harsher split: a
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Form 4 Insider Trading in Python: A Filing-Date Event Study [Quant Insti]Form 4 looks unusually convenient for quantitative research. It is public, structured and tied to a regulatory deadline: in general, a reporting person must file by the end of the second business day after a reportable transaction. The SEC's Form 4 instructions state the rule and also show why a filing is more complicated than one insider, one trade. A filing can contain many
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The Crash Switch Worked and the Strategy Starved Anyway: Keller’s Menu Tested [Quanter Lab]In July 2022 Wouter Keller published Bold Asset Allocation. This paper walks the aggressive variant, BAA-G4: hold the single strongest of QQQ, VWO, VEA and BND by relative momentum, or retreat into bonds and bills when a canary basket says so. We ran the published rules on the real tradable funds through seventeen registered one-year windows, 2009 through 2025. The crash switch is real: in 2022 it
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The Sharpe Stability Ratio: Evaluating the Sharpe Ratio Temporal Consistency [Portfolio Optimizer]The Sharpe Ratio1, one of the most commonly used measure of risk-adjusted performance2, is usually reported as a point estimate (Morningstar, Quantalys, etc.). Thanks to the work of Lo3, Opdyke4 and more recently5 de Prado et al.6, it is nevertheless well understood that such a point estimate [] does not convey information about statistical significance6, so that a more meaningful way to