Quantpedia in September 2019

30.September 2019

Dear readers,Our work on Quantpedia also continued in September – four new Quantpedia Premium strategies have been added into our database; and four new related research papers have been included into existing Premium strategies. Additionally, we have produced over 20 new backtests written in QuantConnect code. Therefore our database currently contains over 140 strategies with

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A Deeper Look on Commitments of Traders Report

27.September 2019

Sun Tzu onced wrote (paraphrasing) “know yourself, know your enemy, and you shall win a hundred battles without loss”. This proverb is true also in financial markets as it is always easier to prepare trading/investment strategy when you know who are other market participants and what their intentions probably are. A new academic research paper written by Robe & Roberts gives a more in-depth insight into the CFTC’s weekly “Commitments of Traders” report. The COT’s report offers a small number of trader groupings; therefore, its usefulness is very limited. However, Robe & Roberts use trader-level data that originate from the CFTC’s Large Trader Reporting System (LTRS), which allows them to create a very detailed look at the composition of agricultural futures markets.

Authors: Robe, Roberts

Title: Who Holds Positions in Agricultural Futures Markets

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Continuous Futures Contracts Methodology for Backtesting

3.October 2019

No doubt, the correct datasets are the key when one does some analysis in the financial markets. Nowadays, futures contracts are widely spread and popular among practitioners. However, each delivery month is connected with a different price where the price of the underlying asset should stand at a given date in the future (the expiration date). The industry standard for backtesting futures strategies is to construct one data sequence from a stream of contracts. Our short article shows the importance of choosing the correct methodology for building continuous futures contracts data series…

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Demand and Supply of Safe Dollar Assets Move Markets

19.September 2019

The United States has a special place in a global financial system. The U.S. dollar is the world’s reserve currency, and U.S. Treasuries are used as primary safe assets. Therefore, it is no surprise that the U.S. has some benefits from this arrangement. Academic research paper written by Krishnamurthy & Lustig shows that the U.S. derives a “convenience yield” from a demand of foreign investors. They consequently incur lower returns on their holdings of dollar-denominated safe assets. The FED’s conventional and unconventional monetary policy actions directly impact the supply of dollar-denominated safe assets. These decisions also affect the size of convenience yield, which causes moves in global financial markets…

Authors: Krishnamurthy, Lustig

Title: Mind the Gap in Sovereign Debt Markets: The U.S. Treasury basis and the Dollar Risk Factor

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Commodity Futures Predict Stock Market Returns

11.September 2019

Commodities are an essential exporting asset for a lot of countries around the world. Therefore, it is not surprising that the stock market returns of some emerging market countries are dependent on the returns of those commodities. What is more striking is that commodities do not forecast equity returns for only those few small exporting countries. Academic research paper written by Alves & Szymanowska shows that commodity futures returns predict stock market returns in 65 out of 70 countries and macroeconomic fundamentals in 62 countries. That is looking like an idea worth dig into …

Authors: Alves, Szymanowska

Title: The Information Content of Commodity Futures Markets

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Retail Day Trading is an Uphill Battle

4.September 2019

Do retail day traders have a chance in current financial markets? They often lack proper trading research and infrastructure; they are facing high fees and stiff competition from professionals. But it’s always useful to view actual hard numbers and performance statistics and not just rely on feelings. Luckily, some academic research papers are exploring the question of the performance of retail traders. Chague, De-Losso, and Giovannetti have written the newest one, and as expected, their findings are not very favorable for retail day traders.

Authors: Chague, De-Losso, Giovannetti

Title: Day Trading for a Living?

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