Quantpedia in July 2020

Dear readers,

Summer is in full swing; therefore, we have prepared some “summer reading” for you. Ten new Quantpedia Premium strategies have been added into our database, and seven new related research papers have been included in existing Premium strategies during last month.

Additionally, we have produced 15 new backtests written in QuantConnect code. Our database currently contains nearly 330 strategies with out-of-sample backtests/codes.

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

The Effectivity of Selected Crisis Hedge Strategies
Authors: Vojtko, Cisar
Title: The Effectivity of Selected Crisis Hedge Strategies

Cryptocurrency Volatility Index
Author: Woebbeking
Title: Cryptocurrency Volatility Markets

ESG Scores and Price Momentum Are More Than Compatible
Author: Padysak
Title: ESG Scores and Price Momentum Are More Than Compatible

The Risk in Equity Risk Factors
Authors: Geertsema, Lu
Title: Where Is the Risk in Risk Factors? Evidence from the Vietnam War to the COVID-19 Pandemic.

Do Floor Traders Matter?
Authors: Brogaard, Ringgenberg, Roesch
Title: Does Floor Trading Matter?

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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