Four new strategies have been added. Seven new related research papers have been included into existing strategy reviews and three 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.

Today’s article focuses on investigating long-short anomaly portfolio return predictability in international stock markets, which often undergo mispricing due to investors’ sentiment. A paper by Jiang, Fuwei et al. (Apr 2023), suggests using the AAIG (Global Anomaly Index), and it examines the ability of the aggregate anomaly index to predict future returns in 33 stock markets. While previous research finds that a high aggregate anomaly measure predicts a low return in the U.S. market, this study further demonstrates that the global component of AAI (aggregate anomaly indices) is the key that drives international return predictability and reveals that the global anomaly index is a strong and robust predictor of equity risk premiums not just in the U.S. market but also in international markets, both in- and out-of-sample, consistently delivering significant economic values.

In March, we posted a series of three articles where our goal was to construct a market timing strategy that would reliably sidestep the equity market during bear markets. In this article, we revisit our research to address the forward-looking bias in our final market timing strategy. Upon careful examination, we identified a bias in our macroeconomic trading signal based on the U.S. S&P Composite dividends. To eliminate the issue, we have replaced the signal from U.S. S&P Composite dividends with Housing Starts Growth sourced from FRED, ensuring the strategy is no longer biased.

The unbiased version of our TrendYCMacro strategy, which uses the HOUSE signal, yields an annual excess return of 6.59%, slightly below the 7.10% of the biased version with the DIVIDEND signal. Interestingly, the unbiased version experiences slightly lower annualized volatility at 11.87% compared to the 11.89% of the biased version. Both versions have suffered the same maximal drawdown of -25.13% and exhibit comparable risk-adjusted returns, with the unbiased version having a Sharpe ratio of 0.56 and the biased version having a Sharpe ratio of 0.60.

Some of the more vague terms in Technical Analysis are really hard to quantify as nearly every TA user defines and interprets them differently. We mean mainly TA patterns like supports, resistances, trend lines, double tops, double bottoms, and/or more complex patterns like head-and-shoulders. Now, what we can do with that? We tried to spend some time and fought a little with some of these TA terms, and the following article/study results from our attempts to quantify a tiny subset of the world of Technical Analysis patterns.

Hello all,

What have we accomplished in the last month?

– A new Technical Analysis report for Quantpedia Pro subscribers
– 11 new Quantpedia Premium strategies have been added to our database
– 9 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 8 new backtests written in QuantConnect code
– And finally, 5 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

Five new strategies have been added. Five 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, two trading strategies have been backtested in QuantConnect in the previous two weeks.