Quantpedia in January 2025
Hiya all,
As traditional, we began the 12 months robust. We’ve numerous bulletins for you—beginning with an replace of the Seasonality Evaluation report, persevering with with the potential for gaining an unique 10% low cost on our providers, a reminder of our Quantpedia Awards 2025 competitors, and eventually, the common bunch of recent articles and backtests.
So, firstly, let’s begin with an up to date Seasonality Evaluation report. Our fundamental aim is to simplify the evaluation of the influence of day-of-the-week and day-of-the-month patterns within the knowledge. Subsequently, we added two new sections, the primary depicting the common day by day efficiency of the Mannequin Portfolio over the month and the second common day by day efficiency over the week. Moreover, the report comprises cumulative fairness curves for methods holding the chosen portfolio solely on particular person days, along with the t-stat tables, through which the times with statistically important returns are marked pink.
Within the subsequent a part of the report, our aim is to assist customers run a frequency evaluation of the Mannequin Portfolio. We function two new periodogram charts constructed utilizing each FFT (Quick Fourier Rework) and the Lomb-Scargle methodology. The primary chart relies on buying and selling days (252 days per 12 months), whereas the second follows the standard calendar format (twelve months per 12 months). These charts assist merchants assess the periodicity of underlying knowledge, revealing dominant cycles which may not be instantly seen. Whereas monetary knowledge is inherently non-stationary, this evaluation gives beneficial insights into potential hidden patterns.
Secondly, we wish to once more ask you for help. 🙂 We work very onerous to enhance our providers, and each month, we convey you new insights from the sector of algo/quant analysis. We wish to develop into even higher, and for that, as within the earlier 12 months, we wish to ask you to assist us fill out the brief Quantpedia survey that comprises questions that can assist us higher plan our work over an extended time frame on a strategic degree.
In fact, we additionally worth your time, so we wish to give you a 10% low cost coupon that can get each one in every of you who will fill out the survey. This coupon code is legitimate for the following 11 days (till the twenty first of February) and applies to all Quantpedia Prime/Premium/Professional subscriptions.
Thirdly, we wish to remind all of you of our Quantpedia Awards 2025 competitors. This 12 months, we proceed in our very profitable contest. There may be nonetheless numerous time till the tip of the submission deadline, however time flies very quick, and the tip of April is right here very quickly. So don’t forget to hitch our race for an elevated $25.000 prize pool 🙂
Eventually, let’s additionally shortly recapitulate Quantpedia Premium growth:
Moreover, 5 new analysis articles had been printed on the Quantpedia weblog within the earlier month:
Refining ETF Asset Momentum StrategyAuthors: Margareta PauchlyovaTitle: Refining ETF Asset Momentum Technique
Detecting Wash Buying and selling in Main Crypto ExchangesAuthors: Jan Sila, Evžen Kočenda, Ladislav Kristoufek, and Jiri KukackaTitle: Determinants of wash buying and selling in main cryptoexchanges
Out-of-Pattern Take a look at of System Investing StrategiesAuthors: Marcel Schwartz and Matthias X. HanauerTitle: System Investing
It’s Concerning the Value of Oil, Not ESGAuthors: Zhan Shi, and Shaojun ZhangTitle: Oil-Pushed Greenium
Seasonality Patterns within the Disaster Hedge PortfoliosAuthor: Cyril DujavaTitle: Seasonality Patterns within the Disaster Hedge Portfolios
Yours …
Radovan VojtkoCEO & Head of Analysis
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