Quantpedia in January 2021

Hello all,

We had a pretty hectic month; we were preparing a new surprise for you, which will be unveiled in the middle of February. But we have not forgotten about you, our readers. So, let us recapitulate last month of Quantpedia’s research. Ten new Quantpedia Premium strategies have been added into our database, and ten new related research papers have been included in existing Premium strategies during last month.

Additionally, we have produced 12 new backtests written in QuantConnect code. Our database currently contains exactly 400 strategies with out-of-sample backtests/codes.

Also, four new blog posts, that you may find interesting, have been published on our Quantpedia blog:

Macro Factor Risk Parity
Authors: Livia Amato and Harald Lohre
Title: Diversifying Macroeconomic Factors — For Better or for Worse

Probability Distributions of Bull and Bear Market States
Authors: Vineer Bhansali and Jeremie Holdom
Title: Good States, Bad States: What Do Options Tell Us About Schizophrenic Behavior of Mr. Market and What Can We Do About It?

Crypto Covered Interest Parity Deviations
Authors: Friedrich-Carl Franz and Alexander Valentin
Title: Crypto Covered Interest Parity Deviations

Fiscal Stimulus Matters to Market
Authors: Jorge A. Chan-Lau and Yunhui Zhao
Title: Hang in There: Stock Market Reactions to Withdrawals of COVID-19 Stimulus Measures

Plus we continue to re-run some of our codes on a monthly basis systematically, over 230 codes are at the moment part of this activity. You can use a new field in our Screener to filter such strategies with periodic updates.

Stay safe …

Radovan Vojtko
CEO & Head of Research


Are you looking for more strategies to read about? Check http://quantpedia.com/Screener

Do you want to see performance of trading systems we described? Check http://quantpedia.com/Chart/Performance

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