Quantpedia in February 2025

Hello all,

The wheel of the time doesn’t stop, and as usual, we have a batch of new updates for you.

So, firstly, let’s discuss the February update of our Quantpedia Pro service. This time, we focused on updating two reports: the Closest Neighbours and ETF Replication.

The ETF Replication Report has been enhanced to provide even greater flexibility. This tool uses our cutting-edge multi-factor regression model to break down a custom Model Portfolio into fundamental investment factors, using ETFs as the underlying building blocks. It helps investors identify which ETFs can best replicate a hedge fund, mutual fund, or any trading strategy. With the latest update, users can now replicate their Model Portfolio using only ETFs or factors from a custom Benchmark Portfolio. This means investors can handpick specific ETFs or factor exposures and then optimize a passive replication strategy based solely on those selections.

The Closest Neighbors Report has also received an upgrade. Previously, this tool allowed users to find strategies and ETFs similar to their chosen model portfolio. Now, it also scans our entire database of ETFs and Quantpedia strategies and automatically identifies the most correlated investment approaches. This makes it even easier to explore related strategies, uncover new research ideas, and refine factor exposures within a portfolio..

Secondly, we would like to remind all of you of our Quantpedia Awards 2025 competition. Time is ticking away, and the end of April is here very soon. Do not forget to join our race for a $25.000 prize pool, made possible thanks to the support of our generous sponsors – QuantConnect – the world’s leading algorithmic trading platform, QuantInsti – algorithmic trading education and research, EOD Historical Data – financial data feeds via API, and Strategy Quant – dedicated software for the development of strategies, who all share our passion for innovation in systematic trading.

Thirdly, we have a short announcement from one of our partners. Deltaray’s MesoSim is an options strategy simulator with a unique flexibility in which you can create, backtest, and optimize trading strategies using options on equity indexes and crypto options. Now, they have launched two new products: MesoLive – a live risk monitoring and trade execution tool (an add-on to MesoSim, available for IBKR accounts), and MesoSim Institutional – a dedicated MesoSim cluster with a high-throughput API for trade discovery and optimization. Exclusively, our readers can use the coupon code QUANTPEDIA60 to obtain a $60 discount for customers who purchase both MesoSim and MesoLive together.

At last, let’s also quickly recapitulate Quantpedia Premium development:

11 new Quantpedia Premium strategies have been added to our database
11 new related research papers have been included in existing Premium strategies during the last month
7 new backtests were written in QuantConnect code. Our database currently now contains over 830 strategies with out-of-sample backtests/codes.

Additionally, 4 new research articles were published on the Quantpedia blog in the previous month:

Dangers of Relying on OHLC Prices – the Case of Overnight Drift in GDX ETF
Authors: Cyril Dujava
Title: Dangers of Relying on OHLC Prices – the Case of Overnight Drift in GDX ETF

Does the Image-Based Industry Classification Outperform?
Authors: Tomasz Kaczmarek and Kuntara Pukthuanthong
Title: Tomasz Kaczmarek and Kuntara Pukthuanthong

Using Inflation Data for Systematic Gold and Treasury Investment Strategies
Authors: Cyril Dujava
Title: Using Inflation Data for Systematic Gold and Treasury Investment Strategies

Can Margin Debt Help Predict SPY’s Growth & Bear Markets?
Authors: Sona Beluska
Title: Can Margin Debt Help Predict SPY’s Growth & Bear Markets?

Yours …

Radovan Vojtko
CEO & Head of Research

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