The year 2024 is nearly behind us, so it’s an excellent time for a short recapitulation. In the previous 12 months, we have been busy again (as usual) and have published over 70 short analyses of academic papers and our own research articles. The end of the year is a good opportunity to summarize 10 of them, which were the most popular (based on the Google Analytics ranking). The top 10 is diverse, as usual; once again, we hope that you may find something you have not read yet …

Nbr. 10: Pre-Holiday Effect in Commodities – historical data reveals a short-term price drift prior to major U.S. holidays in oil and its derivatives, such as gasoline, caused by increased demand

Nbr. 9: How To Profitably Trade Bitcoin’s Overnight Sessions? – the year 2024 brought renewed interest in cryptocurrencies, and we explored our hypothesis that trading activity in ETF could reveal patterns similar to those seen in traditional markets, where liquidity shifts often impact returns during off-peak hours

Nbr. 8: How to Improve ETF Sector Momentum – the alpha of sector momentum strategies has diminished over time, so we tried to introduce an enhanced approach to sector momentum

Nbr. 7: How to Improve Commodity Momentum Using Intra-Market Correlation – we presented an intra-market correlation filter that can help significantly improve commodity momentum performance

Nbr. 6: Combining Discretionary and Algorithmic Trading – a short analysis of Zarattini and Stamatoudis’s (2024) research paper shows that the intuition of experienced discretionary traders can enhance the profitability of trading strategies

Nbr. 5: Designing Robust Trend-Following System – an intro to Dobromir Tzotchev’s paper full framework on how to design a robust trend-following strategy step-by-step

Nbr. 4: How to Build Mean Reversion Strategies in Currencies – our article explores a simple mean reversion trading strategy applied to FX futures, focusing on identifying undervalued and overvalued currencies to generate returns

Nbr. 3: How Much Bitcoin Should We Allocate To the Portfolio? – while examining Bitcoin’s whole history may give the impression of a new super asset, we need to set realistic expectations – therefore, what’s Bitcoin’s role in a diversified portfolio?

Nbr. 2: Pragmatic Asset Allocation Model for Semi-Active Investors & A Few Thoughts on Pragmatic Asset Allocation – two introductory articles about the semi-active asset allocation framework that uses trend and yield-curve signals together with crisis hedge investment portfolio

Nbr. 1: Exploration of CTA Momentum Strategies Using ETFs – an analysis of the “CTA proxy strategy” using ETFs across all asset classes and a suggestion for improving the risk-return profile by removing a short leg from some sub-strategies

Have a successful New Year 2025 …

Yours,

Team Quantpedia.com

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