Quantpedia in August 2022

Hello all,

As we promised a week ago, our new Automatic Trading Edge Analysis report is ready for our Quantpedia Pro subscribers. You may read our primer on the methodology we use. The purpose of this report is to give you the ability to quickly test various short-term trading strategies built on top of picked underlying equity curves (ETFs or any of your custom-uploaded user’s equity curves). These short-term trading strategies are based on well-known data patterns (short-term tops, bottoms, volatility spikes, etc.), and automated testing helps to save your time spent on research.

Let’s also quickly recapitulate Quantpedia Premium development:

9 new Quantpedia Premium strategies have been added to our database
10 new related research papers have been included in existing Premium strategies during the last month
9 new backtests were written in QuantConnect code. Our database currently contains nearly 600 strategies with out-of-sample backtests/codes.

Additionally, 6 new articles were published on the Quantpedia blog in the previous month, 4x analysis of academic research papers and 2x Quantpedia study:

Analysis of research papers:

ETFs: What’s Better? Full Replication vs. Representative Sampling?
Authors: Travis Dyer and Nicholas Guest
Title: A Tale of Two Index Funds: Full Replication vs. Representative Sampling

How Retail Loses Money in Option Trading
Authors: Tim de Silva, Kevin Smith and Eric C. So
Title: Losing is Optional: Retail Option Trading and Earnings Announcement Volatility

Are There Intraday and Overnight Seasonality Effects in China?
Authors: Danling Jiang, Yunfeng Luo, and Zhengke Ye
Title: Factor Beta, Overnight and Intraday Expected Returns in China

Should We Rebalance Index Changes Immediately?
Authors: Rob Arnott, Chris Brightman, Vitali Kalesnik and Lillian Wu
Title: The Avoidable Costs of Index Rebalancing

Yours …

Radovan Vojtko
CEO & Head of Research

Are you looking for more strategies to read about? Visit our Blog or Screener.

Do you want to learn more about Quantpedia Pro service? Check its description, watch videos, review reporting capabilities and visit our pricing offer.

Do you want to know more about us? Check how Quantpedia works and our mission.

Are you looking for historical data or backtesting platforms? Check our list of Algo Trading Discounts.

Or follow us on:

Facebook Group, Facebook Page, Twitter, Linkedin, Medium or Youtube

Share on Refer to a friend

We’ve already analysed tens of thousands of financial research papers and identified more than 700 attractive trading systems together with hundreds of related academic papers.

Browse Strategies