This is a summary of links recently featured on Quantocracy as of Thursday, 10/22/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Momentum timed with the rate of change (ROC) on the S&P 500’s ten steepest trends [Quanter Lab]Momentum is one of the oldest ideas in trading: buy what has been rising, and hold it while it keeps rising. Its known weakness is the fall. When a trend breaks, yesterday's strongest stocks can fall the hardest. A common fix is a second check before holding a stock: its rate of change, how far its price has moved over the last few weeks, in percent. We tested that fix. Every six months we
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“Only EURUSD Strategy You Need” Backtest [YuRa Trading]A popular TradingView script trades EURUSD at the New York stock market open: a buy stop at the last swing high, a sell stop at the last swing low, a 2:1 target. We measured it on 2019 to 2021 one-minute data, 664 trades. It made +0.524 pip per trade before costs. Spread and commission cost 1.21 pip. In 2021 it lost money even before costs. Short answer Does "The Only EURUSD Trading Strategy
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EMA9 Crossing the VWAP: Real Direction Before Costs, No Edge After Costs [Krueger Algorithms]The VWAP (volume-weighted average price since the session start) is seen as the fair price of the day, the EMA(9) as a fast trend line. When the fast line crosses the VWAP upwards, you buy, downwards you sell. The rule appears in many day-trading courses and was missing from our earlier indicator scan: that scan included EMA crossovers with each other (one of 640 cells with net t 2) and price
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Stock Price Bubble Dissection Requires a look at Fundamentals and Speculation [Alpha Architect]Stock market bubbles are easy to identify in hindsight. The dot-com boom, the run-up to the global financial crisis, and the surge in technology stocks during the pandemic are all familiar examples. But identifying a bubble while it is forming is much more difficult. The challenge is that rising stock prices do not necessarily indicate speculation. Prices may increase because investors expect
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Commodity Currencies: Predictable Only Where They’re Thin [Aligrithm]A one-standard-deviation rise in a country's commodity export prices predicts a 0.39% appreciation of its currency against the dollar over the next month. Jeanneret and Sokolovski find that slope in eight commodity-exposed currencies from January 1985 to April 2020, and the Australian dollar and the Canadian dollar contribute almost none of it. The forecast sits in the thinner names. In the
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RSI(2) and Other Pullback Rules on 15 Markets [Krueger Algorithms]Buying after a short, sharp sell-off provides liquidity to those who have to sell, and it pays when the price comes back. On the S&P 500, Nasdaq 100 and Dow exactly this rule passed our holdout: RSI(2) below 10 above the 200-day average, +48 bps per trade after costs. The obvious question: is this a general mechanism that carries on other markets just as well, or a peculiarity of the US
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Bitcoin Runs on a Clock: Why Every Price Indicator Dies and the Halving Clock Doesn t [Quantpedia]For anyone trading or investing in Bitcoin, a familiar indicator can become a dangerous comfort blanket. Josh Molnars Bitcoin Runs on a Clock argues that classic cycle signalssuch as MVRV, the Mayer Multiple and Pi Cycle Tophave weakened as Bitcoins price swings become less extreme. Thresholds calibrated to earlier cycles may consequently stop triggering, leaving investors waiting for
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Stairway to Heaven Gold Breakout Backtest [YuRa Trading]A gold breakout system on r/algotrading showed +188% in 18 months, with a profit factor of 1.74. Its author asked if it holds up outside that window. We ran it on 2019 to 2021 real-tick data with full costs. At its own speed of about three trades a day, every matching setting lost 76% to 97% of the account. Short answer Does the Stairway to Heaven gold breakout strategy work outside 2025? Not on