Quantpedia in September 2020

Dear readers,

We have prepared several new announcements, but first, let us recapitulate last month of Quantpedia’s research. Nine new Quantpedia Premium strategies have been added into our database, and eleven new related research papers have been included in existing Premium strategies during last month.

Additionally, we have produced 12 new backtests written in QuantConnect code. Our database currently contains over 350 strategies with out-of-sample backtests/codes.

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

Benford’s Law Suggests Bitcoin’s Price Manipulation
Author: Peterson
Title: To the Moon: A History of Bitcoin Price Manipulation

First-Half Month Cash-Flow News and Momentum in Stocks
Authors: Hong, Yu
Title: Month-End Reporting, Cash-Flow News, and Asset Pricing

Settling the Size Matter
Authors: Blitz, Hanauer
Title: Settling the Size Matter

The Positive Similarity of Company Filings and the Cross-Section of Stock Returns
Author: Padysak
Title: The Positive Similarity of Company Filings and the Cross-Section of Stock Returns

ETF Liquidity
Authors: Pham, Marshall, Nguyen, Visaltanachoti
Title: Predicting ETF Liquidity

Plus, we have a few new announcements:

  • We have started to systematically re-run some of our codes on a monthly basis. This new activity will ensure that selected strategies will have backtests, which are one month old at the most. You can use a new field in our Screener to filter such strategies with periodic updates. We expect that the majority of QuantConnect codes written by us will be re-built in the next few months to allow us to update them every month.
  • You can now use promo-code QUANTPEDIA to receive a 10% discount for our course about the event-driven calendar/seasonal trading strategies, which is hosted on QuantInsti portal. The selected offer is valid until the 10th of October.
  • You can also use promo-code QPhuma20 to receive a 20% discount to access DDQI alternative data discover and research platform. The selected offer is valid until the 17th of November.

Stay safe …

Radovan Vojtko
CEO & Head of Research

Are you looking for more strategies to read about? Check http://quantpedia.com/Screener

Do you want to see performance of trading systems we described? Check http://quantpedia.com/Chart/Performance

Do you want to know more about us? Check http://quantpedia.com/Home/About

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