Quantpedia in October 2019

Dear readers,

Seven new Quantpedia Premium strategies have been added into our database in October, and five new related research papers have been included into existing Premium strategies.

Additionally, we have produced 26 new backtests written in QuantConnect code. Therefore our database currently contains nearly 170 strategies with out-of-sample backtests/codes.

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

Continuous Futures Contracts Methodology for Backtesting
Authors:  Vojtko, Padysak
Title:  Continuous Futures Contracts Methodology for Backtesting

Momentum Explains a Bunch Of Equity Factors
Authors: Favilukis, Zhang
Title:  One Anomaly to Explain Them All

Commodity Futures Risk Premium – Historical Analysis
Authors:  Bhardwaj, Janardanan and Rouwenhorst
Title:  The Commodity Futures Risk Premium: 1871–2018

Lexically Diverse Hedge Funds Outperform
Authors:  Joenväärä, Karppinen, Teo, Tiu
Title:  Text Sophistication and Sophisticated Investors

Calendar / Seasonal Trading and Momentum Factor
Authors:  Vojtko, Padysak
Title:  Calendar / Seasonal Trading and Momentum Factor

Lastly, we would like to invite you to join the new Facebook group sponsored by Quantpedia: https://www.facebook.com/groups/quantstrategies/. Group’s mission is to be a casual open space/community for sharing ideas and articles related to quant/algo trading.

Best regards,

Radovan Vojtko
CEO & Head of Research

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