Category Archives: Quantitative trading

They Have Figured It Out: Facts Will Be Delayed

Buy the rumor, sell the fact. If facts are delayed, then investors will continue buying the rumors. It works; the evidence is all around you.

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Dumb Social Media Sentiment Algos Target The Stock of O’Reilly Automotive

Increased volatility in the stock of O’Reilly Automotive (ORLY) in the last two days while the name O’Reilly was trending in the news raises questions about the effectiveness of social media sentiment algos and their perils.

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Institutional Grade Mean-Reversion Strategy

The strategy trades all Dow30 stocks in short-term mean-reversion mode using as a score a formula from a probability theory textbook.

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Forecasting Weekly Market Returns With DLPAL PRO

We use the ensemble feature generation of DLPL PRO with weekly data of Dow-30 stocks to forecast weekly returns. The strategy based on the ensemble features has less drawdown but the same MAR ratio as buy and hold.

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Alternative Ways Of Trading Four Mean Reversion Strategies

In a previous article we discussed two different ways of trading multiple mean-reversion strategies. In this article we consider more options based on the number of concurrent signals generated by the strategies.

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Nearly 75% of DLPAL Sales Come from Outside the U.S.

Nearly 75% of DLPAL software sales have come from outside the U.S so far. Below are some possible reasons for this trend that we believe is present everywhere in the trading and quant software industry.

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Neutral Momentum ETF Woes

The QuantShares U.S. Market Neutral Momentum Fund (MOM) has significantly underperformed its underline index in the last six years. Below are details and a performance comparison to similar strategies based on the S&P 500 stock universe.

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Fluxionization Trading Strategy

The Fluxionization™ strategy makes use of Isaac Newton’s fluxions and probability theory to trade long-only Dow-30 stocks. The strategy has performed very well even during the financial crisis bear market with a hypothetical return of about +13%.

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