Quantpedia in September 2019

Dear readers,

Our work on Quantpedia also continued in September – four new Quantpedia Premium strategies have been added into our database; and four new related research papers have been included into existing Premium strategies.

Additionally, we have produced over 20 new backtests written in QuantConnect code. Therefore our database currently contains over 140 strategies with out-of-sample backtests/codes.

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

Retail Day Trading is an Uphill Battle
Authors:  Chague, De-Losso, Giovannetti
Title:  Day Trading for a Living?

Commodity Futures Predict Stock Market Returns
Authors: Alves, Szymanowska
Title:  The Information Content of Commodity Futures Markets

Demand and Supply of Safe Dollar Assets Move Markets
Authors:  Krishnamurthy, Lustig
Title:  Mind the Gap in Sovereign Debt Markets: The U.S. Treasury basis and the Dollar Risk Factor

A Deeper Look on Commitments of Traders Report
Authors:  Robe, Roberts
Title:  Who Holds Positions in Agricultural Futures Markets

Best regards,

Radovan Vojtko
CEO & Head of Research

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