Quantpedia in January 2025

Hello all,

As usual, we started the year strong. We have a lot of announcements for you—starting with an update of the Seasonality Analysis report, continuing with the possibility of gaining an exclusive 10% discount on our services, a reminder of our Quantpedia Awards 2025 competition, and finally, the regular bunch of new articles and backtests.

So, firstly, let’s start with an updated Seasonality Analysis report. Our main goal is to simplify the analysis of the impact of day-of-the-week and day-of-the-month patterns in the data. Therefore, we added two new sections, the first depicting the average daily performance of the Model Portfolio over the month and the second average daily performance over the week. Additionally, the report contains cumulative equity curves for strategies holding the selected portfolio only on individual days, together with the t-stat tables, in which the days with statistically significant returns are marked red.

In the next part of the report, our goal is to help users run a frequency analysis of the Model Portfolio. We feature two new periodogram charts built using both FFT (Fast Fourier Transform) and the Lomb-Scargle method. The first chart is based on trading days (252 days per year), while the second follows the traditional calendar format (365 days per year). These charts help traders assess the periodicity of underlying data, revealing dominant cycles that might not be immediately visible. While financial data is inherently non-stationary, this analysis provides valuable insights into potential hidden patterns.

Secondly, we would like to again ask you for assistance. 🙂 We work very hard to improve our services, and every month, we bring you new insights from the field of algo/quant research. We want to become even better, and for that, as in the previous year, we would like to ask you to help us fill out the short Quantpedia survey that contains questions that will help us better plan our work over a longer period of time on a strategic level.

Of course, we also value your time, so we would like to offer you a 10% discount coupon that will get every one of you who will fill out the survey. This coupon code is valid for the next 11 days (until the 21st of February) and applies to all Quantpedia Prime/Premium/Pro subscriptions.

Thirdly, we would like to remind all of you of our Quantpedia Awards 2025 competition. This year, we continue in our very successful contest. There is still a lot of time until the end of the submission deadline, but time flies very fast, and the end of April is here very soon. So do not forget to join our race for an increased $25.000 prize pool 🙂

At last, let’s also quickly recapitulate Quantpedia Premium development:

9 new Quantpedia Premium strategies have been added to our database
8 new related research papers have been included in existing Premium strategies during the last month
8 new backtests were written in QuantConnect code. Our database currently now contains nearly 830 strategies with out-of-sample backtests/codes.

Additionally, 5 new research articles were published on the Quantpedia blog in the previous month:

Refining ETF Asset Momentum Strategy
Authors: Margareta Pauchlyova
Title: Refining ETF Asset Momentum Strategy

Detecting Wash Trading in Major Crypto Exchanges
Authors: Jan Sila, Evžen Kočenda, Ladislav Kristoufek, and Jiri Kukacka
Title: Determinants of wash trading in major cryptoexchanges

Out-of-Sample Test of Formula Investing Strategies
Authors: Marcel Schwartz and Matthias X. Hanauer
Title: Formula Investing

It’s About the Price of Oil, Not ESG
Authors: Zhan Shi, and Shaojun Zhang
Title: Oil-Driven Greenium

Seasonality Patterns in the Crisis Hedge Portfolios
Author: Cyril Dujava
Title: Seasonality Patterns in the Crisis Hedge Portfolios

Yours …

Radovan Vojtko
CEO & Head of Research

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