Quantpedia in November 2022

7.December 2022

Hello all,

What have we accomplished in the last month?

– One new Quantpedia Pro report – the One-Day Shocks & Historical Event Analysis
– 10 new Quantpedia Premium strategies have been added to our database
– 13 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 10 new backtests written in QuantConnect code
– And finally, 4+1 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

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How to Paper Trade Quantpedia Backtests

18.November 2022

Quantpedia’s mission is simple – we want to analyze and process academic research related to quant/algo trading and simplify it into a more user-friendly form to help everyone who looks for new trading strategy ideas. It also means that we are a highly focused quant-research company, not an asset manager, and we do not manage any clients’ funds or managed accounts. But sometimes, our readers contact us with a request to help them to translate strategy backtests performed in Quantconnect into paper trading or real-trading environment. The following article is a short case study that contains a few useful tips on how to do it.

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Reviewing Patent-to-Market Trading Strategies

16.November 2022

The following article is a short distillation of the research paper Leveraging the Technical Competence of a Stock for the Purpose of Trading written by Rishabh Gupta. The author spent a summer internship at Quantpedia, investigating the Patent-to-Market (PTM) ratio developed by Jiaping Qiu, Kevin Tseng, and Chao Zhang. The PTM ratio uses public information about the number and dates of patents assigned to publicly listed companies, calculates an expected market value of patents, and tries to predict future stock performance.

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A Simple Approach to Market-Timing Strategy Replication

11.November 2022

In previous articles, we discussed the ideas behind portfolio replication with market factors. However, overall robustness of the results suffers significantly if the model portfolio or trading strategy we attempt to synthetize is driven by a market-timing model. We do not know the rules driving the underlying strategy we could apply ourselves beforehand. Furthermore, there is no simple mechanism of market-timing rule detection we could potentially utilize in our regression model. Hypothetically, we could include a variety of market-timing strategies into the factor universe. But since there are countless market-timing methods, covering everything is simply unrealistic. Particularly in context of historic factor universe construction. In an attempt to capture the effects of underlying timing rules, we came up with a simple approach to address this problem to a somewhat satisfactory extent.

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Quantpedia in October 2022 – the 100-Year Portfolio Analysis Report

7.November 2022

Hello all,

What have we accomplished in the last month?

– One new Quantpedia Pro report – the 100-Year Portfolio Analysis
– 11 new Quantpedia Premium strategies have been added to our database
– 11 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 9 new backtests written in QuantConnect code
– And finally, 3+3 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

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Introducing Quantpedia Answers

26.October 2022

Approximately 18 months ago, when we started Quantpedia Pro service, we promised to systematically expand its analytical capabilities by adding new tools and reports to it. We kept this promise and enlarged Quantpedia Pro to over 30 reports with hundreds of tables and charts. Factor regression analysis, risk scenarios, seasonality analysis, alternative weighting schemes, risk parity, CPPI, volatility targeting, correlation analysis, Markowitz portfolio optimization, clustering, market phases analysis, ETF replication etc. offer insight into the matters of portfolio construction or risk management. But our disciplined tempo also means that some users can become lost in the number of tools Quantpedia Pro offers. Therefore, we would like to introduce to you our new Quantpedia Answers section, which contains practical examples of how to use the growing capabilities of Quantpedia Pro reporting.

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