Hello all,

Welcome again to Quantpedia’s monthly recapitulation.

Firstly, a new Quantpedia Pro update. We continue on our path to improve our new Attribution Analysis report. Over the last few weeks, we expanded the first step in the report, the detection of the asset classes, into three groups – equity-like, fixed-income-like, and others. This is one of the most common ways portfolios (and benchmarks) are split into individual segments. You can now run an attribution analysis of the outperformance (or underperformance) of your model portfolio against the benchmark and check the results using both types of asset class detection: A/ equity-like, other assets or B/ equity-like, fixed-income-like, and other assets.

And as usual, let’s also quickly recapitulate Quantpedia Premium development:

• 12 new Quantpedia Premium strategies have been added to our database
• 7 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 nearly 800 strategies with out-of-sample backtests/codes.

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

Outperforming Equal Weighting
Authors: Antonello Cirulli and Patrick S. Walker
Title: Outperforming Equal Weighting

The Expected Returns of Machine-Learning Strategies
Authors: Vitor Azevedo, Christopher Hoegner and Mihail Velikov
Title: The Expected Returns on Machine-Learning Strategies

Combining Discretionary and Algorithmic Trading
Authors: Carlo Zarattini and Marios Stamatoudis
Title: The Power Of Price Action Reading

Designing Robust Trend-Following System
Author: Dobromir Tzotchev
Title: Designing Robust Trend-following System: Behind the Scenes of Trend-following

Yours …

Radovan Vojtko
CEO & Head of Research

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