Recent Quant Links from Quantocracy as of 11/30/2024

UVXY is an ETF that targets 1.5x the daily returns of a 30-day constant-maturity position in VX futures the SPVIXSTR index. Before 2018, it targeted 2x returns but Volmageddon ruined the fun. UVXY has to trade every day: To rebalance its notional exposure back to its target due to: Movements in VX, and Expense fees and trading costs being deducted from AUM. To maintain its target maturity

In [part 1] [youtube video link] we covered the data pipeline portion of the AWS trading bot architecture. I demonstrated how to set up your AWS environment, including creating a simple dynamoDB database to hold our price and strategy data. Then we walked through the data pipeline code in detail including how to grab the data and populate our db with it. In this post well cover the strategy

An anomaly is a pattern in stock returns that deviates from what is expected based on established financial theories or models. These patterns can sometimes present opportunities for abnormal returns. However, they are often inconsistent and challenging to exploit. Many anomalies have achieved consensus and, thus, have been incorporated into factor-based models, including size, value, momentum,

On Day 24, we explained in detail how the error correction term led to somewhat unexpected outperformance relative to the original and unadjusted strategies. The reason? We hypothesized that it was due to the the error term adjusting the prediction in a trending direction when or if the current walk-forward model was mean reverting. We noted that the walk-forward models tended to have negative

The strong breadth readings over the last few days triggered one of my oldest and most favorite studies. It looks at other times that breadth came in strong for 3 days in a row. I have shown this study many times over the years. I often refer to it as a Triple-70 Thrust, because it requires the NYSE Up Issues % to close at 70% or greater for 3 days in a row. Stats are updated. Triple 70 breadth