Six new strategies have been added.
Eleven new related research papers have been included into existing strategy reviews and three short free blog posts have been published during last few weeks.
Plus, five trading strategies have been backtested in QuantConnect in the previous two weeks.
Indisputably, we are witnesses of an ETF mega boom. From passive to active ETFs, their numbers seem to be ever-increasing. Since these exchange-traded funds can be excellent (accessible, transparent, liquid) instruments, it is a great necessity to examine their possible usage in active and systematic trading or investing. Therefore, the short research critically assesses the possibility of using ETFs in the Skewness Trading Strategy.
The critical question of this research is to examine whether the quality factor could be found in the aggregated groups of similar stocks such as industries or sectors. Additionally, instead of constructing a comprehensive quality metric like other papers, we examine the individual ratios aggregated to the whole sector. The aim is to investigate the fundamental ratios on which quality is based rather than the composite quality score of sectors.
Dear readers & clients,
I would like to use this space to thank you all for your kind support in the year 2021. I am really proud of my whole team for their work. We are fulfilling our primary mission to process academic research related to quant&algo trading to a more user-friendly form. And we will do it even better in 2022, so stay tuned 🙂
Five new strategies have been added.
Ten new related research papers have been included into existing strategy reviews and two short free blog posts have been published during last few weeks.
Plus, five trading strategies have been backtested in QuantConnect in the previous two weeks.
As usual, at this time of the year, let us do a short recapitulation of posts on our blog in the previous 12 months. We have published nearly 70 short analyses of academic papers and our own research articles on this blog in 2021. We want to use this opportunity to summarize 10 of them, which were the most popular (based on the Google Analytics tool). Maybe you will be able to find something you have not read yet …
We’ve already analysed tens of thousands of financial research papers and identified more than 700 attractive trading systems together with hundreds of related academic papers.
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