This is a summary of links recently featured on Quantocracy as of Tuesday, 10/27/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Part Time Trader Part 5: Half a Million Backtests & a Coin Flip [Algorithmic Advantage]Half a million tests can map an opportunity or manufacture a winner; the difference is how the outputs are used. Then the coin toss every ranking has to beat. Welcome back to the series on building rotational momentum strategies. Earlier I called broad reconnaissance the opposite of overfitting. That shorthand needs a qualification: not taking the best row does not remove selection bias. Choosing
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O’Shaughnessy Trending Value backtest on S&P 500 point-in-time constituents [Quanter Lab]Trending Value is a stock-picking formula from James O'Shaughnessy's book "What Works on Wall Street", and stock screeners have copied it for years. It has two components. The value component finds the cheapest stocks in the market, judged on six price measures at once. The trend component then buys, from those cheap stocks, the ones whose prices did best over the last six
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Optimal Rebalancing under Fixed and Variable Trading Costs [Yannick Kalber]Whenever current portfolio weights differ from their target weights, either due to market movements, signal changes or other reasons, a portfolio manager in a frictionless world would immediately trade to the target portfolio. In reality, however, every adjustment incurs trading costs. Therefore a portfolio manager faces an optimization problem, where he needs to balance portfolio suboptimality
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AI Models Don’t Predict Markets. They Remember Them [Delphic Alpha]If you trade macro themes, you have seen the pitch: let a language model read the news and position you across futures. If you backtest rules, you know the question to ask first: what is the edge, and does it hold on years the model never saw? I built that AI macro fund and backtested it on 12 futures over 17 years, then ran the control most people skip. Everyone building one assumes the model is
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EIA Inventory Report: The First Reaction of WTI Crude Is Neither Continued Nor Reversed [Krueger Algorithms]Every Wednesday at 10:30 New York time (Thursday at 11:00 in holiday weeks) the US Energy Information Administration reports how crude and gasoline inventories changed. The oil price reacts within seconds. The question behind this: after the first five minutes does the price keep running in the same direction because the market processes the figures with a delay? Or was the reaction exaggerated
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Calm Uptrends That Accelerate: No Edge Beyond the Trend Itself [Krueger Algorithms]Every trader knows the idea: a market rises for weeks, quietly, with small pullbacks and low volatility. At some point the rise gets steeper and momentum picks up. The mechanism usually named is dealer hedging: whoever sold call options has to buy more as the price rises, and when the VIX rises at the same time the effect feeds on itself. If you spot the acceleration early, the hope goes, you ride