Over the past 5 years, I've read over 100 research papers on trading strategies.
And the truth is, 95% of them held absolutely no alpha.
So, I've created a list of 11 that would be worth your time (bookmark this thread):
And the truth is, 95% of them held absolutely no alpha.
So, I've created a list of 11 that would be worth your time (bookmark this thread):
Context:
Most published ideas require refinement rather than immediate application;
Their true value lies in fostering creativity. I absorb as much information as possible to enhance my ability to build/find strategies.
So here are the 10 I found quite useful:
Most published ideas require refinement rather than immediate application;
Their true value lies in fostering creativity. I absorb as much information as possible to enhance my ability to build/find strategies.
So here are the 10 I found quite useful:
1. 'Know When to Hodl Em, Know When to Fodl Em': An Investigation of Factor Based Investing in the Cryptocurrency Space.
By Stefan Hubrich
By Stefan Hubrich
2. A Century of Evidence on Trend-Following Investing.
By Brian K. Hurst, Yao Hua Ooi & Lasse H. Pedersen
By Brian K. Hurst, Yao Hua Ooi & Lasse H. Pedersen
3. Are Earnings Predictable? Evidence from Equity Issues and Buyback Announcements.
By Shahram Amini & Vijay Singal
By Shahram Amini & Vijay Singal
4. Cryptomarket Discounts.
By Nicola Borri & Kirill Shakhnov
By Nicola Borri & Kirill Shakhnov
5. Deep Learning from Implied Volatility Surfaces.
By Bryan T. Kelly, Boris Kuznetsov, Semyon Malamud & Teng Andrea Xu
By Bryan T. Kelly, Boris Kuznetsov, Semyon Malamud & Teng Andrea Xu
6. Improving Pairs Trading.
By Tiago Almeida
By Tiago Almeida
7. The Statistics of Sharpe Ratios.
By Andrew W Lo
By Andrew W Lo
8. 0DTE Trading Rules.
By Grigory Vilkov
By Grigory Vilkov
9. Market Sentiment and an Overnight Anomaly.
By Radovan Vojtko & Daniela Hanicova
By Radovan Vojtko & Daniela Hanicova
10. Value and Momentum Everywhere
By Clifford S. Asness, Tobias J. Moskowitz & Lasse Heje Pedersen
By Clifford S. Asness, Tobias J. Moskowitz & Lasse Heje Pedersen
11. Statistical Arbitrage in the U.S. Equities Market.
By Marco Avellaneda & Jeong-Hyun Lee
By Marco Avellaneda & Jeong-Hyun Lee
Bonus:
If you are interested in staying up to date with papers coming out,
Be sure to follow @quantseeker.
He is a great resource for keeping up to date.
If you are interested in staying up to date with papers coming out,
Be sure to follow @quantseeker.
He is a great resource for keeping up to date.
@quantseeker If you find this type of content valuable & want more every week:
1. Follow me @GoshawkTrades for more.
2. Jump to the top & retweet.
1. Follow me @GoshawkTrades for more.
2. Jump to the top & retweet.
And having assisted 200+ traders in turning their strategy ideas into code, if you need help to automate or backtest your strategy,
Book a call with me below:
unbiasedtrading.info
Book a call with me below:
unbiasedtrading.info
And when you're ready to become a systematic trader, I have something for you.
Here's a Backtesting Cheat Sheet that 100s of traders have used to unlock the secrets of building rock-solid strategies.
Grab it below ↓
backtestingcheatsheet.com
Here's a Backtesting Cheat Sheet that 100s of traders have used to unlock the secrets of building rock-solid strategies.
Grab it below ↓
backtestingcheatsheet.com
And when you're ready to become a systematic trader, I have something for you.
Here's a Backtesting Cheat Sheet that 100s of traders have used to unlock the secrets of building rock-solid strategies.
Grab it below ↓
backtestingcheatsheet.com
Here's a Backtesting Cheat Sheet that 100s of traders have used to unlock the secrets of building rock-solid strategies.
Grab it below ↓
backtestingcheatsheet.com
And when you're ready to become a systematic trader, I have something for you.
Here's a Backtesting Cheat Sheet that 100s of traders have used to unlock the secrets of building rock-solid strategies.
Grab it below ↓
backtestingcheatsheet.com
Here's a Backtesting Cheat Sheet that 100s of traders have used to unlock the secrets of building rock-solid strategies.
Grab it below ↓
backtestingcheatsheet.com
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