Quantpedia in July 2023

Hello all,

Amidst the warmth of the summer season, we couldn’t resist delving into a somewhat controversial topic – Technical Analysis – for our new Quantpedia Pro report. We understand that this subject sparks debates, but hey, it’s summer. So, why not take a break from the norm and ride the waves 🙂 Who knows, we might just catch a refreshing perspective on this contentious subject. Plus, we fulfill our promise to some of our clients to add some more technical analysis tools. But we promise that we will be more conservative in the next month 🙂

What does the new report offer? We analyze individual assets/investments selected for the Model Portfolio in the Portfolio Manager and look out for the double bottoms, double tops, and trend-line formations that we then plot into the chart. An article with the whole methodology of how to identify double tops and bottoms, plus an example of the trading strategy based on those patterns, will be published on our blog at the end of this week.

We understand that the absolute majority of our clients are pure quants (as we are) and are looking only at raw data and numbers. But still, some visuals can, from time to time, deliver different perspectives on the markets.

Let’s also quickly recapitulate Quantpedia Premium development:

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
8 new backtests were written in QuantConnect code. Our database currently contains over 670 strategies with out-of-sample backtests/codes.

Additionally, 5 new articles were published on the Quantpedia blog in the previous month:

Beta-Adjusting Factor Returns
Author: David Blitz
Title: The Cross-Section of Factor Returns

Optimal Market Making Models with Stochastic Volatility
Authors: Burcu Aydoğan, Ömür Uğur, and Ümit Aksoy
Title: Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset

Top Models for Natural Language Understanding (NLU) Usage
Author: Lukas Zelieska
Title: Top Models for Natural Language Understanding (NLU) Usage

Exploring the Factor Zoo with a Machine-Learning Portfolio
Authors: Sak, H. and Chang, M. T., and Huang, T.
Title: Exploring the Factor Zoo With A Machine-Learning Portfolio

How Well Do Factor Investing Funds Replicate Academic Factors?
Authors: Martijn Cremers, Yuekun Liu, and Timothy B. Riley
Title: Factor Investing Funds: Replicability of Academic Factors and After-Cost Performance

Yours …

Radovan Vojtko
CEO & Head of Research

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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.

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