This is a summary of links recently featured on Quantocracy as of Tuesday, 10/14/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Why You Can t Tell if Your Strategy Stopped Working (Statistically Speaking) [Robot Wealth]Traders love the illusion of precision. A few bad weeks go by, and you think, Lets run a t-test and see if the strategy stopped working. It sounds rigorous. It isnt. Imagine a strategy that, in truth, earns 10% per year with 20% volatility roughly the S&Ps long-term profile. Well simulate five years of daily returns, about 1,260 observations, from a geometric Brownian
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The Points-and-Line Chart [Financial Hacker]-and-Line Chart Traders like special bars on a chart, since they let the price curve appear smoother and more predictable as it really is. Some types of bars, such as Renko bars, even use fake prices for generating curves that appear to move straight upwards or downwards. In the TASC November issue, Mohamed Ashraf and Mohamed Meregy presented the Points and Line Chart that avoids this problem. At
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Weekly Research Recap [Quant Seeker]Analyzing over 1,500 bond funds (20152024) shows that active returns, performance relative to benchmarks, are driven mainly by systematic risk exposures, not manager skill. For Aggregate and Corporate funds, about 55% of active returns come from underweighting duration and overweighting credit risk, while high-yield funds often reduce credit exposure. Key takeaway: Active return is not alpha;
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Identifying and Characterizing Market Regimes Across Asset Classes [Relative Value Arbitrage]Identifying market regimes is essential for understanding how risk, return, and volatility evolve across financial assets. In this post, we examine two quantitative approaches to regime detection. Hedge Effectiveness Under a Four-State Regime Switching Model Identifying market regimes is important for understanding shifts in risk, return, and volatility across financial assets. With the