Quantocracy@Quantocracy

Curated links from the quantitative trading blogosphere.

quantocracy.com
Joined June 2013
147 Photos and videos
A sad day for the quant vol trading community, Vance is gone [@6_Figure_Invest] dlvr.it/TVZKdf
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Recent Quant Links from Quantocracy as of 09/24/2026 quantocracy.com/recent-quant…

Recent Quant Links from Quantocracy as of 09/24/2026 - Quantocracy

This is a summary of links recently featured on Quantocracy as of Thursday, 09/24/2026. To see our most recent links, visit the Quant Mashup. Read on readers! Tech companies that spend more on capex...

quantocracy.com
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Tech companies that spend more on capex than their operating cash flow [@QuanterLab] dlvr.it/TVcrx5

Which tech companies spend more on building than their business brings in? Every S&P 500 tech...

Which tech companies spend more on buildings and equipment than their business brings in? Ten in 2001, three of 80 this April.

quanterlab.com
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Which Conformal Method Works for Which Alpha Signal? [Delphic Alpha] dlvr.it/TVcrPM
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Moving Average Distance: The Technical Indicator That Passed the Cross-Section [@AliAskar92] dlvr.it/TVcr4z

10.18 Moving Average Distance: The Technical Indicator That Passed the Cross-Section

US equity cross-section: the 21-day over 200-day moving average ratio earns 9.05% annual alpha and kills momentum's. All of it is the long leg, and the short leg pays nothing.

aligrithm.com
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The Part Time Trader Part 2: The Questions Before the Backtest [@Algo_Advantage] dlvr.it/TVcqpM
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Recent Quant Links from Quantocracy as of 09/22/2026 quantocracy.com/recent-quant…

Recent Quant Links from Quantocracy as of 09/22/2026 - Quantocracy

This is a summary of links recently featured on Quantocracy as of Tuesday, 09/22/2026. To see our most recent links, visit the Quant Mashup. Read on readers! Building and Testing Trend-Following...

quantocracy.com
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Building and Testing Trend-Following Strategies on One-Minute SPY Data [@Quantpedia] dlvr.it/TVbxxL
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I Tried A Foundational Financial LLM Model to See If It Holds Up to Its Claims: It Doesnt [Paper to Profit] dlvr.it/TVbxmn
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State-Dependent (In)Efficiency: Meta-Learning a Directional-Change Threshold [@AliAskar92] dlvr.it/TVbxY9

6.55 State-Dependent (In)Efficiency: Meta-Learning a Directional-Change Threshold

Crypto directional-change trading with a meta-learned threshold: adaptive Sharpe 1.34 vs 0.59 static, p=0.008. Real gain, but the 446% return and the omitted Bitcoin bar do not survive a recount.

aligrithm.com
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Is the Altman Z-score still relevant? The 1968 formula tested on the S&P 500 [@QuanterLab] dlvr.it/TVbxHT

Does Altman’s Z-score formula still tell you anything about today’s S&P 500? Altman’s three zones...

Altman built the Z-score to spot manufacturers heading for bankruptcy. Run on the S&P 500, its distress zone is mostly utilities and landlords.

quanterlab.com
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The Holdout That Made the Sharpe Bigger [@JonathanKinlay] dlvr.it/TVbx2H

The Holdout That Made the Sharpe Bigger

First, a correction The panel in my September post was supposed to have zero alpha. It didn’t quite. The market factor carried a drift of 0.0002 per day and the betas were drawn N(1, 0.3), so a book...

jonathankinlay.com
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How much can machine learning improve losing trading strategies? [@DaruTrading] dlvr.it/TVbwcf

How much can machine learning improve losing trading strategies?

A model layer trained on the trades of 420 losing technical rules, used to filter, size or rank their signals, walked forward for 43 months on US equities and Binance perpetuals against taking every...

daru.finance
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Good vs Bad COVOL in Crypto: A Common-Volatility Tilt [@AliAskar92] dlvr.it/TVbwQp

4.78 Good vs Bad COVOL in Crypto: A Common-Volatility Tilt

Crypto COVOL split into good and bad gives the RCI, and a 125/100/75 tilt claims Sharpe 0.5648 vs 0.3971. The thresholds need hindsight, and Table 6's columns describe two different return series.

aligrithm.com
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How long should you wait before trading a newly listed perpetual? [@DaruTrading] dlvr.it/TVbwF4

How long should you wait before trading a newly listed perpetual?

How a Binance perpetual changes over its first year in volatility, funding, spread and book depth, and whether a fixed rule library earns anything different on a young contract than on a mature one...

daru.finance
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Recent Quant Links from Quantocracy as of 09/20/2026 quantocracy.com/recent-quant…

Recent Quant Links from Quantocracy as of 09/20/2026 - Quantocracy

This is a summary of links recently featured on Quantocracy as of Sunday, 09/20/2026. To see our most recent links, visit the Quant Mashup. Read on readers! A sad day for the quant vol trading...

quantocracy.com
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Do Airline Stocks Take Off Around U.S. Holidays? [@Quantpedia] dlvr.it/TVZJtl
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From Alpha Signals to Portfolio [Delphic Alpha] dlvr.it/TVZJWV
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VIX regime factor tilt against a fixed factor blend, S&P 500 walk-forward 2006 to 2025 [@QuanterLab] dlvr.it/TVZJ9n

The radar and the sliders: a VIX-steered factor tilt kept nine tenths of a point a year over its...

A VIX-steered factor tilt against its fixed twin, twenty registered S&P 500 years: nine tenths of a point a year, and the bill for every year it was wrong.

quanterlab.com
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The Invisible Drawdown: 150 Years of Cash Returns [Beyond Passive] dlvr.it/TVZHtM
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