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3,481 dokumentů
This post explains how to calculate the number and share of stocks whose daily percentage change exceeds a chosen threshold. The proposed workflow filters a cross-sectional data frame on the return field, counts the qualifying rows, then divides by the total…
This forum post outlines the basic workflow of a multi-factor analysis backtest: sort stocks into groups by factor value, buy according to a rebalancing schedule, calculate each group’s returns, and report performance measures. It also notes that…
This article summarizes research on the relationship between U.S. industry portfolio returns and the VIX, an options-derived measure of expected stock-market volatility. It describes analysis of 49 industry portfolios, comparing return characteristics and…
Gerber statistics offer a threshold-based way to estimate dependence between asset returns. Each return is classified by whether it rises or falls beyond an asset-specific threshold; paired observations count as concordant when both move substantially in the…
This tutorial introduces gplearn, a Python library that uses genetic programming for regression and symbolic regression. Candidate expressions are iteratively selected, crossed, and mutated to find mathematical relationships in data. The resulting formulas…
This study examines value, momentum, carry, and defensive factor returns across six asset classes using data spanning roughly a century. It compares each factor’s discovery period with earlier and later periods, using the long history and cross-asset…
The document reviews a holdings-based framework for attributing Spanish domestic equity mutual fund performance to four sources: momentum-related trading, security selection, active market timing, and passive timing effects caused by changing security betas.…
The document summarizes research on pairs trading among liquid large- and mid-cap stocks in Mainland China and Hong Kong from 1996 to 2017. It compares strategies confined to each market with strategies that form pairs across the two markets, assessing…
This A-share strategy ranks eligible stocks using year-over-year net-profit growth and total market capitalization. It subtracts each stock’s size rank from its growth rank, favoring companies with stronger earnings growth and relatively smaller market…
This page points to a presentation and code for a multi-instrument CTA strategy built around Dual Thrust. Its outline identifies trend capture, fixed-fraction position sizing for risk control, diversification or hedging across three instruments, and backtest…
This platform discussion describes a research use case: detect a recent stock anomaly, wait for a later price adjustment, and potentially act when the stock reaches a level tied to the anomaly day. Its example defines an anomaly using a sharp increase in…
This overview describes quantitative investing as the use of rules or factors developed by analyzing historical market data. It presents broad stock coverage and repeated trading as a way to aggregate small predictive edges, and says quant strategies may…
This report summary reviews Schroders as an asset manager and describes its investment approach, asset mix, and historical fund performance. It says the firm focuses on asset management, with equities prominent in its portfolios, and reports that many funds…
The post describes a discrepancy observed after adding a rolling-training module to a strategy on a Chinese quantitative trading platform. Without rolling training, the author says simulated live trades and later tracking backtests matched. With rolling…
This article warns against four stock-selection habits: judging risk by a share’s nominal price, chasing popular themes without understanding their drivers, buying on favorable announcements without considering expectations already reflected in the price,…
This report summary examines how to assess the banking sector using bank fundamentals alongside broader economic conditions. It argues that bank share-price movements are driven more by valuation than by changes in reported earnings, which may limit the…
The document gives brief examples of using large-scale and unconventional data to inform investment research. Satellite images of retail and office parking areas are described as a way to estimate business activity, while satellite monitoring of shipping is…
This forum post documents a user’s difficulty placing repeated buy orders in a BigQuant backtest. The strategy loops over target stocks and submits equal-weight target-percentage orders; some buys return error -108, while later orders in the same loop can…
This short question-and-answer concerns a futures backtest in which the account's total assets appear to rise to roughly twice the amount used to buy a stock. The author reports trying several order methods, including placing an order by quantity, by…
This article discusses how to manage strategy exposure during changing market conditions. It contrasts concentrating capital in one stock with spreading risk across positions or strategies, noting that concentration can produce sharp gains as well as large…
The report examines position management and timing for absolute-return equity strategies. It tests fundamental proxies for liquidity, earnings, and valuation: the year-over-year change in quarterly EPS, historical price-to-earnings valuation, and the…
The document explains how Brinson attribution uses portfolio holdings to separate active return into allocation and security-selection effects. The framework can be applied across industries for equity funds or across broad asset classes for mixed-asset…
This note presents an investment case for China’s technology sector and describes the CSI Technology 50 Index. It argues that reduced access to overseas technology through acquisitions, combined with domestic innovation policies, creates a basis for…
This brief Chinese-language strategy notice describes a minute-frequency approach to pursuing stocks that reach their daily price limits. It says the model monitors three dimensions across the market: concept or theme popularity, capital flows, and price…