Is Gold a Safe Haven? It Depends on the Country

24.March 2023

If you’re a regular reader of our blogs (and we hope you are!), you would not miss that we like to touch macro-economic subjects. One of that never-fading topics is the role of gold as a crisis hedge. The probably most known commodity is a popular choice for a portion of the total portfolio, from small investors to central banks, for various reasons (be it diversification or hedging). So let’s not further delay it, and today we ask: Is gold really a safe haven?

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Overview of Different Short Volatility Strategies

22.March 2023

The expected return on the “variance factor” known as variance risk premium (VRP) is nothing new to options markets. For any investor interested in benefitting from this phenomenon, we present the study of Dörries et al. (2021), which provides a clear overview of different VRP-earning strategies.

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Quantpedia Premium Update – 21st March

21.March 2023

Six new strategies have been added. Six new related research papers have been included into existing strategy reviews and four short free blog posts has been published during last few weeks. Plus, three trading strategies have been backtested in QuantConnect in the previous two weeks.

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Avoid Equity Bear Markets with a Market Timing Strategy – Part 3

17.March 2023

In the last third installment, we will finish exploring the world of market timing strategies (see parts 1 & 2). We will focus on yield curve predictors and incorporate all three ideas (price-based, macro-economic, and yield curve predictors) into one final trading strategy that yields an annual return above that of the stock market while doubling its Sharpe ratio and reducing maximal drawdown by two thirds.

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Avoid Equity Bear Markets with a Market Timing Strategy – Part 1

13.March 2023

In this series of three articles, our goal is to construct a market timing strategy that would reliably sidestep the equity market during bear markets, thereby reducing market volatility and boosting risk-adjusted returns. We will build trading signals based on price-based indicators, macroeconomic indicators, and a leading indicator, a yield curve, that would try to predict recessions and bear markets in advance. All three articles would be published in a span of the next few days. We start with the first part – a short intro into the market timing strategies using price-based rules.

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