This is a summary of links recently featured on Quantocracy as of Thursday, 12/05/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Naive Backtesting [Anton Vorobets]I am occasionally asked about historical backtests proving that CVaR is a better risk measure than variance. I provide such a backtest in Section 2.6 of the Portfolio Construction and Risk Management book1 and explain why it is naive (see the PDF at the bottom of this article). Thanks for reading Quantamental Investing! Subscribe to receive new posts and stay updated. Although many people
-
Trader s Guide to Front-Running Commodity Seasonality [Quantpedia]Seasonality is a well-known phenomenon in the commodity markets, with certain sectors exhibiting predictable patterns of performance during specific times of the year. These patterns often attract investors who aim to capitalize on anticipated price movements, creating a self-reinforcing cycle. But what if we could stay one step ahead of the crowd? By front-running these seasonal trendsbuying
-
Day 28: Reveal [OSM]On Day 27, we had our strategy enhancement reveal. By modifying the arithmetic behind our error correction, we chiseled another 16% points of outperformance vs. buy-and-hold and the original 12-by-12 strategy. All that remains now is to run the prediction scenario metrics and conduct circular block sampling. Given that weve laid the ground work for these analyses in past posts, we will only