This is a summary of links recently featured on Quantocracy as of Thursday, 10/15/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Financial Mentor’s OptimumV [Allocate Smartly]This is a test of OptimumV from Todd Tresidder of Financial Mentor. Backtested results from 1987 follow. Results are net of transaction costs see backtest assumptions. Learn about what we do and follow 100+ asset allocation strategies like this one in real-time. Logarithmically-scaled. Click for linearly-scaled results. Tresidder has requested that we not disclose the OptimumV ruleset. To be
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Clenow’s Stocks on the Move tested on the S&P 500 [Quanter Lab]Stocks on the Move is a 2015 book by Andreas Clenow. It gives simple rules for picking stocks from the S&P 500. In short: buy the stocks that rose fastest and most smoothly over the last three months, and stop buying new stocks while the whole market is falling. The book's promise is to beat the market. We ran these rules on the S&P 500 from 2006 to 2025. On each day we used the
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PEAD Died in 2016, and the Death Can Be Dated [Dead Signals Lab]The first note of this series told how a post-earnings drift sleeve with a 0.63 Sharpe died upon applying point-in-time membership: that number was an inclusion look-ahead, not an edge. A question was left pending, promised as an epilogue: with the bias corrected, what remains of the underlying phenomenon? Post-earnings announcement drift (PEAD) is the dean of the anomaly literature, documented