This is a summary of links recently featured on Quantocracy as of Saturday, 09/12/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Piotroski F-score backtest on the S&P 500, point in time, 2000 to 2025 [Quanter Lab]Piotroski's F-score is the screen every value investor has run: nine yes-or-no questions on the last two annual statements, a point for each yes, buy the eights and nines. Piotroski (2000) built it for the cheapest fifth of the market by book-to-market, where a positive return on assets was information and the high scorers earned 7.5 percentage points a year more than the group between 1976
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Strategy Recalibration Breakout [Handelsmeisterei]This report evaluates the Breakout strategy through signal diagnostics, parameter selection, robustness testing, and portfolio integration. It examines whether historical performance holds up under recent conditions and whether the strategy adds value to the portfolio. Despite strong results over the full sample, weaker recent performance and substantial overlap with existing strategies support
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Dividend capture strategy backtest [Quanter Lab]Dividend capture is sold as income on a calendar: buy the stock at the close before the ex-date, the payment is yours, sell the next day. On the ex-date the price falls, and the trader keeps only the part of the payment the price did not take back, minus the spread both ways. Elton and Gruber measured the fall at about four fifths of the payment in 1970. We expected the fall to match the payment
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The Wisdom of 100 Strategies: Using Aggregate TAA Allocation as a Trading Signal [Allocate Smartly]We track 100+ Tactical Asset Allocation (TAA) strategies. A unique feature of our platform is our Aggregate Allocation Report, a daily snapshot of the average asset allocation across all of the strategies we track. To illustrate, in the graph below we show the aggregate allocation over the last 3 years, summarized by asset category. Note the increase in defensive allocation (ex. cash and bonds)