This is a summary of links recently featured on Quantocracy as of Sunday, 10/18/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Less Wrong [Quantitativo]The biggest risk is that you have a losing strategy when you think you have a winning one. Jeff Yass Last month, while listening to Annie Dukes TED Talk about risk, I learned the quote above from Jeff Yass, founder of Susquehanna International Group. Annie is a former professional poker player turned author and decision-strategy consultant. Her famous book, Thinking in Bets (2018), is a
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Hedgefundie’s Excellent Adventure (HFEA) tested 2010-2025 [Quanter Lab]Hedgefundie's Excellent Adventure is a well-known strategy built from leveraged funds. A leveraged fund borrows so that it moves more than the market each day. The strategy borrows its name from the film Bill & Ted's Excellent Adventure. Like the film, it travels through time very well, as long as it travels backwards. It holds two funds. UPRO moves three times as much as the S&P
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The Messy Business of Building a Futures Security Master [Handelsmeisterei]The figures below are the interactive versions of the figures in the article, in the articles order and under the articles numbers. Hover a series for its values, drag across a chart to zoom and double-click to reset, and click a legend entry to hide or isolate a series. The security master connects broker instruments to signal and cost data. Figure 1. The security master connects
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Chasing Skew in Trend Following [Concretum Group]Readers familiar with the trend following space (whether for professional reasons or out of personal interest) probably know that there are certain evergreen themes that cyclically resurface in online discussions. The Anatomy of a Successful Trend Program The Anatomy of a Successful Trend Program Concretum Research May 9 Read full story You Can Trade (Almost) Like Mulvaney You Can Trade
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Hidden Markov model vs VIX regime detection [Quanter Lab]Many investors change their mix of stocks with the market's mood. When the market is calm, they lean on the stocks that have been rising. When it turns choppy or stressed, they move toward profitable, cheaper companies, which they expect to hold up better. Investors call these moods regimes. The hard part is telling which regime the market is in, and two ways are popular. The first is the
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The Real IS OOS Sharpe Haircut (Closed Form, Not “50%”) [Aligrithm]Twelve commodity futures, three momentum windows and an intercept, ten years of daily closes: 444 coefficients on 2,520 rows. Jacquier, Muhle-Karbe, and Mulligan compute the fraction of the in-sample Sharpe ratio this linear book is expected to keep on new data. Their commodity case study puts that fraction at 30 percent for a ten-year backtest. They attribute the rule of thumb that keeps 50
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The Role of Liquidity in Stock Returns and Option Pricing [Relative Value Arbitrage]Liquidity is an important factor in financial markets, but it is not always the first consideration in asset pricing, trading, or risk management. In this post, we examine the importance of liquidity from two different perspectives: its predictive relationship with stock returns and its role in option pricing and hedging. How Liquidity of Stock Affects Its Future Expected Return The liquidity of a
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A Trend Factor for the Crypto Cross-Section (and Its Overfit Tell) [Aligrithm]Fieberg, Liedtke, Poddig, Walker, and Zaremba build a weekly score from 28 technical indicators, buy the value-weighted top fifth of coins, and short the bottom fifth. From April 2015 to May 2022 that hedge earns 3.87% a week, t-statistic 5.19, annualized Sharpe ratio 1.94. They then rebuild the same trade under 55,296 research designs. The published Sharpe sits at the upper edge of that pile. The