Hello and welcome to our October recap!

Our October priority was to enhance Quantpedia’s reporting and align our standards more closely with those commonly used by hedge funds and institutional investors. So, what’s new? The Basic Overview report now includes significantly more advanced statistical measures, such as portfolio skewness, kurtosis, upside and downside volatility, beta to benchmark and equities, correlation to benchmarks, and performance consistency indicators. These new insights and visualizations, including charts comparing the model portfolio’s return quality to main benchmarks, offer all our Prime/Premium/Pro users a more comprehensive view of portfolio performance..

• 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
• 7 new backtests were written in QuantConnect code. Our database currently now contains over 810 strategies with out-of-sample backtests/codes.

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

How to Improve ETF Sector Momentum
Author: Sona Beluska
Title: How to Improve ETF Sector Momentum

Pre-Holiday Effect in Commodities
Author: Cyril Dujava
Title: Pre-Holiday Effect in Commodities

Short Sellers: Informed Liquidity Suppliers
Authors: Amit Goyal, Adam V. Reed, Esad Smajlbegovic, and Amar Soebhag
Title: Stealthy Shorts: Informed Liquidity Supply

How to Build Mean Reversion Strategies in Currencies
Authors: Sona Beluska
Title: How to Build Mean Reversion Strategies in Currencies

The Impact of Methodological Choices on Machine Learning Portfolios
Authors: Vaibhav Lalwani, Vedprakash Meshram, and Varun Jindal
Title: The impact of Methodological choices on Machine Learning Portfolios

Yours …

Radovan Vojtko
CEO & Head of Research

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