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Category Archives: Quantitative trading
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.
The strategy trades all Dow30 stocks in short-term mean-reversion mode using as a score a formula from a probability theory textbook.
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.
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.
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.
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.
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%.