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

Continue reading

How Much Are Bitcoin Returns Driven by News?

30.November 2022

The main theme of these days in the crypto world is unmistakenly clear, it’s the mayhem connected with the collapse of the FTX empire, insolvencies of various lenders, and questions about underlying holdings in GBTC OTC ETF and reserves of exchanges and Tether (or other stablecoins as well). With new information, nothing does paint a bright picture of this industry in the financial world now and in the near future. Calls for finally working regulations are getting stronger and stronger, while politicians (and central bankers) are still active on Central Bank Digital Currencies (CBDCs) proposals. While Bitcoin survived several crypto winters, long-term investors are continuing their DCA-ing and “stashing Satoshis” Are they safe? Do they pay attention to the surrounding news? In our blog entry, we will focus on the question of how news impact Bitcoin returns, being both the most famous cryptocurrency and also the one with the highest market capitalization.

Continue reading

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.

Continue reading

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.

Continue reading

Impact of Dataset Selection on the Performance of Trading Strategies

14.November 2022

It would be great if the investment factors and trading strategies worked all around the world without change and under all circumstances. But, unfortunately, it doesn’t work like that. Some of the strategies are market-specific, as shown in this short analysis. The Chinese market has its own specifics, mainly higher representation of retail investors and lower efficiency. And it’s not alone; countless strategies work just in cryptocurrencies, selected futures, or some other derivatives markets. So, what’s the takeaway? Simple, it’s really important to understand that each anomaly is linked to the underlying dataset and market structure, and we need to account for it in our backtesting process.

Continue reading

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.

Continue reading

Subscribe for Newsletter

Be first to know, when we publish new content


    logo
    The Encyclopedia of Quantitative Trading Strategies

    Log in