Hello all,
As usual, let me use this space to recapitulate what’s new in November’s update of Quantpedia’s services. The most interesting addition has been built for Quantpedia Pro‘s Portfolio Manager, which now allows you to construct a Benchmark Portfolio to complement your Model Portfolio allocation.
This feature speeds up the research process as you can now set up one default multi-strategy multi-asset portfolio as your Benchmark and then test various small changes and variations of your allocation in your Model Portfolio. Information about Benchmark allocation is directly used in a lot of Quantpedia Pro reports, such as Basic Overview, Crisis, Trend/Reversal, y Market Phases Analysis or different asset allocation reports like Volatility Targeting o Portfolio Risk Parity.
The second interesting addition is a part of our free content in the “Recursos” sub-page. We would like to let you know about a new table in the Links section. The new “Descuentos en Algo Trading” table compiles discounted offers that we were able to negotiate exclusively for our readers with some of our partners that service the algo&quant trading community.
Let’s also quickly recapitulate Quantpedia Premium development:
- 10 new Quantpedia Premium strategies have been added to our database
- 10 new related research papers have been included in existing Premium strategies during the last month
- 10 new backtests were written in QuantConnect code. Our database now contains over 500 strategies with out-of-sample backtests/codes.
Additionally, 7 new articles were published on the Quantpedia blog in the previous month, 5x analysis of academic research papers and 2x Quantpedia studies:
- Community Alpha of QuantConnect – Part 4: Composite Social Trading Multi-Factor Strategy
- How to Combine Different Momentum Strategies
Analysis of research papers:
Out-of-Sample Dataset Before the “Sample”: Pervasive Anomalies Before 1926
Autores: Guido Baltussen, Bart P. Van Vliet and Pim Van Vliet
Título: The Cross-Section of Stock Returns before 1926 (And Beyond)
The Quant Cycle – The Time Variation in Factor Returns
Author: David Blitz
Título: The Quant Cycle
How News Move Markets?
Autores: Mark Kerssenfischer and Maik Schmeling
Título: What Moves Markets?
Bitcoin Returns and Volatility Predicted by Bitcoin Exchange Reserves
Autores: Lai T. Hoang, Dirk G. Baur
Título: Effects of Bitcoin Exchange Reserves on Bitcoin Returns and Volatility
What Drives Volatility of Bitcoin?
Autores: Štefan Lyócsa, Peter Molnár, Tomáš Plíhal and Mária Širaňová
Título: Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of Bitcoin
Happy trading …
Radovan Vojtko
CEO & Head of Research
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