Own-research

Can We Backtest Asset Allocation Trading Strategy in ChatGPT?

31.March 2023

It’s always fun to push the boundaries of technology and see what it can do. The AI chatbots are the hot topic of current discussion in the quant blogosphere. So we have decided to test OpenAI’s ChatGPT abilities. Will we persuade it to become a data analyst for us? While we may not be there yet, it’s clear that AI language models like ChatGPT can soon revolutionize how we approach to finance and data analysis.

Continue reading

Avoid Equity Bear Markets with a Market Timing Strategy – Part 3

17.March 2023

In the last third installment, we will finish exploring the world of market timing strategies (see parts 1 & 2). We will focus on yield curve predictors and incorporate all three ideas (price-based, macro-economic, and yield curve predictors) into one final trading strategy that yields an annual return above that of the stock market while doubling its Sharpe ratio and reducing maximal drawdown by two thirds.

Continue reading

Avoid Equity Bear Markets with a Market Timing Strategy – Part 1

13.March 2023

In this series of three articles, our goal is to construct a market timing strategy that would reliably sidestep the equity market during bear markets, thereby reducing market volatility and boosting risk-adjusted returns. We will build trading signals based on price-based indicators, macroeconomic indicators, and a leading indicator, a yield curve, that would try to predict recessions and bear markets in advance. All three articles would be published in a span of the next few days. We start with the first part – a short intro into the market timing strategies using price-based rules.

Continue reading

Investigating Price Reaction Around Bitcoin & Ethereum Events

15.February 2023

Cryptocurrencies are a high-risk and very speculative asset class that, from being used only by tech geeks worldwide, spread from small retail craziness of early adopters to institutional adoption and mainstream. Some claim it to be a world-changing concept with the utilization of blockchain (databases) and smart contracts that open a wide range of opportunities, from decentralizing finance to self-governing algorithms; some others point to unnecessary scams, money laundering, and bubbles. We have been covering the concepts and topics relating to crypto extensively. This article will continue our investigation of this interesting field. We would like to test how the price action looks around some of the events unique to the cryptocurrency world – namely the Bitcoin reward halvings and hard and soft forks in Bitcoin and Ethereum networks.

Continue reading

Evaluating Long-Term Performance of Equities, Bonds, and Commodities Relative to Strength of the US Dollar

10.February 2023

The US dollar is the world’s primary reserve currency, is the most widely traded currency in the world (making up over 85% of all foreign exchange transactions), and is used as the benchmark currency for pricing many commodities such as oil and gold. We can say that the US dollar is the blood of the current financial system. A few months ago, we shared how to build a really long-term (nearly 100 years long) history of the USD exchange rate. Therefore, as we already have the data, we can now perform the cross-asset analysis to study the impact of the US Dollar’s strength or weakness on the performance of other asset classes, notably US equities, US treasury bonds, and commodities.

Continue reading
Subscription Form

Subscribe for Newsletter

 Be first to know, when we publish new content
logo
The Encyclopedia of Quantitative Trading Strategies

Log in