Dear readers,
Four new Quantpedia Premium strategies have been added into our database, and five new related research papers have been included in existing Premium strategies during last month. Plus, I am happy to announce that we have expanded our team of analysts and starting in March, we plan to more than double our rate of research. Our plan is to add around 100 new strategies derived out of academic research until the end of 2020.
Additionally, we have produced 19 new backtests written in QuantConnect code. Our database currently contains 245 strategies with out-of-sample backtests/codes.
Also, four new blog posts you may find interesting have been published on our Quantpedia blog:
Did Automated Trading Resurrect the CAPM?
Autores: Park, Wang
Título: Did Trading Bots Resurrect the CAPM?
Hierarchical Risk Parity
Autores: Lohre, Rother and Schafer
Título: Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi-Asset Multi-Factor Allocations
Do Copycat CTAs Outperform Individualistic CTAs?
Autores: Bollen, Hutchinson and O’Brian
Título: When It Pays to Follow the Crowd: Strategy Conformity and CTA Performance
What is the Bitcoin’s Risk-Free Interest Rate?
Autores: Vojtko, Padysak
Título: What is the Bitcoin’s Risk-Free Interest Rate?
And at last, we would like again to remind our “Crisis Hedge” filtering field you can use to find strategies that can be utilized as a hedge/diversification to equity market risk factor during bear markets.
Best regards,
Radovan Vojtko
CEO & Head of Research
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