Writing an OMS for an HFT platform is a really difficult task that is often taken for granted. It is made more difficult in crypto because the exchange infrastructure is unreliable. It is not uncommon to simply be told “go away and come back later” when trying to call api functions. There is

Our new study aims to investigate the lead-lag effect between prominent, widely recognized stocks and smaller, less-known stocks with similar ticker symbols (for example, TSLA / TLSA), a phenomenon that has received limited attention in financial literature. The motivation behind this exploration

The important role played by short sellers, who, through their actions, keep prices efficient by preventing overpricing and the formation of price bubbles in financial markets, has received increasing academic attention in recent years. Research into the information contained in short-selling

Recently I ran across an interesting paper published by National Bureau of Economic Research entitled “Return Based Measue of Firm Quality”. I happen to have a suitable data and thought why not reproduce it on data from polish stock exchange in the free time. It turned out not so bad and thanks

As part of my investigations into forex news trading I have found it necessary to obtain forex tick level data for back testing purposes and below I provide code to achieve this using Dukascopy's Node library, being called from Octave and using some system calls. A useful youtube video about

This paper explores the effectiveness of the BJZZ algorithm, developed by Boehmer, Jones, Zhang, and Zhang (2021), in identifying and signing retail trades executed off exchanges with subpenny price improvements. A (Sub)penny For Your Thoughts: Tracking Retail Investor Activity in TAQ Barber, Huang,

Funds providing the same exposures trade similarly, regardless of where they trade On paper, investors can achieve benefits by diversifying via time zones In reality, this represents a form of volatility laundering like private equity INTRODUCTION On the 24th of January 2023, Hindenburg Research, an

Volatility laundering causes the risk-adjusted returns and the diversification benefits of private equity to be significantly overstated. However, the problem of volatility laundering is not a problem for all private investments, specifically not for high-quality, floating rate, private credit.

The Efficient Market Hypothesis (EMH), theory developed in the 1960s, states that stock prices reflect all available information, making it impossible to consistently earn above-average returns using this information. Nevertheless, numerous studies challenge this view by documenting anomalies that

I was going through some old issues of Technical Analysis of Stocks & Commodities looking for some ideas to test. In the November 2019 issue, I came across “Stock Market Seasonality: A Global Phenomenon” by Jay Kaeppel. The basic idea was that global markets share the same “buy in November

Finance has seen unprecedented growth in the use of artificial intelligence, specifically in machine learning models. Applications have included portfolio construction, stock analysis and in this case, the prediction of stock market returns. This paper discusses the benefits of using complex models

Although yields are higher, bonds have also become riskier Bonds and CTAs have generated similar diversification benefits since 1999 Applying a trend following overlay for equities was accretive in Europe and Japan INTRODUCTION In May 2021 we made the case that bonds have become less useful in asset

It is common knowledge that returns to hedge funds and other alternative investments [like private equity or real estate] are often highly serially correlated1. This results in apparently smooth returns that have artificially lower volatilities and covariations with other asset classes2, which in

The main goal of our new article is to explore the efficacy of passive versus active management strategies in the context of savings for long-term financial goals. By analyzing the performance of nine distinct asset classes, including Double Leveraged ETFs and an implementation of the Pragmatic

Performance chasing can be measured via extreme excess returns Abnormal negative returns lead to subsequent outperformance While abnormal positive returns lead to subsequent underperformance INTRODUCTION Morningstar recently published a list highlighting the top 10 fund management companies that

Most Tactical Asset Allocation (TAA) strategies trade just once per month. Strategy developers almost always assume trades are executed on the last trading day of the month. A unique feature of our platform is the ability to follow these strategies on any other day of the month as well. We’re not

Back in May 2020, in the eye of the Covid storm, we looked at overnight vs intraday returns in US equities. Intuitively, we’d probably expect to see higher average returns overnight when the market is closed – because it’s much more difficult to hedge and manage our exposures when the cash

I had the pleasure of joining Andrew Swanscott on the Better System Trader podcast on Wednesday afternoon. We had a detailed discussion about VIX trading and my recent whitepaper that won the NAAIM Founders Award. It had been a long time since I was last on Andrew’s podcast, but he is always a fun

Of the hundreds of equity factors identified in the financial literature, there were only five that met the criteria Andrew Berkin and I established in our book Your Complete Guide to Factor-Based Investing. To be considered for investment, a factor must have provided a premium that was persistent

We conclude our discussion of market regime detection by examining Hidden Markov Models (HMMs). Recall this series was inspired by a post from PyQuant News that highlighted a longer article from the London Stock Exchange Group (LSEG). Those who took the CFA exams probably forgot using HMMs in the

Could traders be using the VIX wrong? Is there an even better way to time the markets and reduce risk? In this episode, discover the new secrets of volatility-based trading with Rob Hanna. Rob shares his award-winning insights into using the VIX and SPX to time the market, challenging conventional

Statistical arbitrage is a classic quantitative trading strategy, and pairs trading is one of them. Digital currency perpetual contracts are non-delivery perpetual futures. This project describes using data from the Binance exchange to find perpetual contract pairs whose pairing spreads conform to

Seasonal trading strategies are grounded in the belief that certain patterns repeat over specific periods due to predictable events and behaviors. These strategies can be a powerful tool for traders, helping them to capitalize on regular market trends. This article will delve deeper into the world

Hello all, Welcome to the Quantpedia Awards 2024 winners announcement. This is the moment we all have been waiting for, and today, we would like to acknowledge the accomplishments of the researchers behind innovative studies in quantitative trading. So, what do the top five look like, and what will

The carry strategy has become more attractive given higher yields However, the strategy is highly correlated to equities in periods of market stress CTAs are better diversifiers INTRODUCTION Carry strategies were widely popular before the global financial crisis in 2009, but less thereafter given a

Since my last post about end of initial testing I have been working on Oanda API functions in Octave to programmatically place entry orders and associated take profit and stop orders for a future possible forex news trading system. The reason for this is simple - it would be next to impossible to

In the previous tutorial we set up a backtesting environment using the QSTrader backtesting framework inside a Jupyter Notebook. We isolated this research environment and its dependencies using Docker, with Docker Compose. In this article we will show you how to implement one of the example

Among the many factors cited in academic research, only a handful have been sufficiently reliable for use in asset pricing models. One of those is momentum. The evidence has been robust for not only cross-sectional (relative) and time-series (absolute or trend) momentum, but also for factor

Our previous post, used hierarchical clustering to identify market regimes in the gold miners ETF, GDX. This was inspired by a post from PyQuant News that highlighted a longer article from the London Stock Exchange Group (LSEG). In this post, we’ll continue looking at identifying market regimes

Systematic risk affects the entire market and impacts the Sharpe ratio. Any trading strategy must consider the impact of systematic risk. While a strategy must involve some risk to make money, systematic risk cannot be diversified away. So, we need to build a hedge to get rid of it. By hedging

Some funds exhibit strong skewness profiles Skewness is highly time-varying and not necessarily a negative criteria Should be measured but unlikely managed INTRODUCTION The trouble with investing in emerging markets is that they are quite different, which requires extensive due diligence on each of

This is a deep dive into which share disposal method – FIFO or LIFO – would have been more tax advantageous for the 80+ asset allocation strategies we track. When selling shares FIFO (first in, first out), the oldest shares held are sold first. When selling LIFO (last in, first out), the most

Borrow fees reflect how likely short sellers think a stock is to decline. Can this information be incorporated into trading strategies as an alpha factor? This article uses Alphalens to explore the relationship between borrow fees and forward returns and uses Moonshot and Zipline to demonstrate ways

We recently saw a post from PyQuant News that piqued our interest, compelling us to dust off the old blog files and get back into the saddle. The post highlights a longer article from the London Stock Exchange Group (LSEG) on how to use different machine learning models to identify and forecast

In TASC 3/24, John Ehlers presented several functions for smoothing a price curve without lag, smoothing it even more, and applying a highpass and bandpass filter. No-lag smoothing, highpass, and bandpass filters are already available in the indicator library of the Zorro platform, but not Ehlers’

The increased popularity of social media as a forum for market participants to post and exchange opinions has been accompanied by heightened interest from academic researchers who have sought to determine if there is valuable information in the postings. For example, the June 2020 study “Do

Regime-Based Strategic Asset Allocation Eric Bouyé and Jerome Teiletche (World Bank) April 2024 What should investors do in the presence of economic regimes? Researchers and practitioners usually address this topic from a tactical asset allocation point of view. In this article, we depart from the

There is a common debate when people are discussing code optimisation that relates to how fast code needs to be. A recent Twitter post about parsing binance BBA messages stated processing times of around 200ns. This is, in my admission, very fast. To put it into perspective, Serde is a common rust

We’ve added a new objective to the Portfolio Optimizer. Members can now find the combination of TAA strategies that would have maximized the Ulcer Performance Index (UPI), aka the “Martin Ratio”. Members: begin exploring the Max UPI portfolios now. UPI is a measure of return relative to

It was an exciting week here at Quantifiable Edges as it was officially announced that Rob Hanna won the National Association of Active Investment Managers (NAAIM) Founders Award, which is its annual white paper competition. The paper: Chicken & Egg: Should you use the VIX to time the SPX? Or

A few years ago, I got deep into the idea of constructing a long/short equity options portfolio based on the kind of simple factor sorts that had been so successful in quant equity. My original intention was to set up an index and license it to fund managers. Of course, there are many reasons why

In the research reviewed here, the authors analyze the relationship of aggregate market liquidity to the time-series performance of reversal strategies. The strength and persistence of reversals and reversal driven strategies appear to be different depending on specific risk features of those

The ability to predict stock returns and the equity risk premium (ERP) is of great interest to academics, financial practitioners, and investors, as future estimated returns have implications for asset allocations. To date, the best metric we have for forecasting future equity returns and the ERP is

Most recently, I announced some coming, exciting upcoming things for quantpylib: Exciting Additions to Quantpylib Exciting Additions to Quantpylib HangukQuant · May 6 Read full story as well as a demontration of its powers: Dual Momentum in Cryptocurrencies? Dual Momentum in Cryptocurrencies?

The higher the yield, the lower the total return on average Combining the highest yielding strategies leads to risky portfolios Combining high yielding but uncorrelated strategies is more sensible INTRODUCTION We previously highlighted an almost linear inverse relationship between an investment

Bootstrapping is a statistical method which consists in sampling with replacement from an original data set to compute the distribution of a desired statistic, with plenty of possible variations depending on the exact context (non-dependent data, dependent data…). Because bootstrap methods are

Over the last few weeks, we talked about funding arbitrage, Crypto Arbitrage (1 Week Setup) Crypto Arbitrage (1 Week Setup) HangukQuant · Apr 10 Read full story extended the quant library to incorporate crypto backtesting Announcing Crypto and Other Backtesting Logic ; Quantpylib Announcing Crypto

Inventory scores are quantamental (point-in-time) indicators of the inventory states and dynamics of economies or commodity sectors. Inventory scores plausibly predict base metal futures returns due to two effects. First, they influence the convenience yield of a metal and the discount at which

Momentum continues to receive much attention from researchers because of the strong empirical evidence. Out of the hundreds of exhibits in the factor zoo, momentum (both cross-sectional [long-short] and absolute [trend]) was one of just five equity factors that met all the criteria (persistent,

Here are some things we know about Tactical Asset Allocation: (Learn more: What is TAA?) We shouldn’t go 100% “all in” on just one TAA strategy. That introduces “specification risk”, or the risk that we’ve bet on an underperforming horse. Instead, we should combine multiple strategies