This is a summary of links recently featured on Quantocracy as of Wednesday, 09/16/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Fama-French factors inside the S&P 500: walk-forward 2006 to 2025 [Quanter Lab]Fama and French sort every US stock on the signal at the end of June, hold the top thirty percent weighted by market value, and quote the spread against the bottom thirty percent. A fund that sells the factor holds something near that, restricted to large caps. A private investor who reads about the same factor buys thirty names and weights them equally. The three are assumed to be one trade at
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Momentum Mini-Portfolio Development – Part 3: ASX Momentum [TradeQuantiX]As many of you know, I trade the US, ASX (Australian), and TSX (Canadian) markets systematically. And hopefully in the near future Ill be adding even more markets. It puzzles people why I trade markets other than the US. The US has to be the best, right? Its the biggest and has the most volume, so surely every trading opportunity I could ever need lives in the US market… right? I get this
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The Activist Who Only Won Among the Survivors [Dead Signals Lab]The first two autopsies of this series documented two species of the same family of errors: the inclusion look-ahead, which contaminates the list of names that enter the backtest, and the execution look-ahead, which contaminates the price at which the purchase is assumed to have happened. The present note documents the third species, found in an experiment on shareholder activism, and with it the
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Predictive Value of Within-Strategy Permutation Tests for Forward Selection [Daru Finance]A large-scale empirical test of whether within-strategy Monte Carlo permutation testing, a standard validation step in quantitative strategy development, actually improves forward-looking strategy selection. Across 437,911 strategy configurations on nine instruments spanning crypto, forex and commodities, 160 walk-forward windows, and 26.5 billion permutations end-to-end, the answer is no, but for
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Do Intra-Bar Timestamps Carry Alpha? OHLC + Timing Features [Aligrithm]Bloomberg started selling the clock inside the bar. Not just the high price for the minute, but the second at which the high printed, the same for the low, the first and last trade times, condition-code tick counts, and a Bloomberg VWAP for the interval. Ruslan Tepelyan trained three neural networks on that feed across the Russell 3000 for all of 2021 and reports that the timing features improve