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The integration of artificial intelligence into algorithmic trading has ignited a race to transform generative text into systematic alpha. A new paper written by Steven Edwards empirically investigates whether constructing a synthetic consensus using large language models can simulate information aggregation dynamics or if it merely acts as a sophisticated echo chamber. By utilizing an expansive …

Average strategy performance is one of the most common shortcuts in portfolio research. It gives the researcher a clean benchmark, a single reference line, and a simple way to compare one strategy against a broader group of similar strategies. In many cases, this is useful. But it can also be misleading. The problem is that an average hides dispersion. Two peer groups can have the same average r…

Five new strategies have been added. Two new related research paper have been included into existing strategy reviews and three new short free blog posts have been published during last few weeks. Plus, four trading strategies have been backtested in QuantConnect in the previous two weeks.

Time-series momentum stands as one of the most reliable and heavily backtested anomalies in quantitative finance, serving as a foundational alpha source for modern managed futures and trend-following strategies. However, a recent academic paper by Matti Suominen and Erik Hjalmarsson, titled "Boundaries of Time Series Momentum," uncovers a structural vulnerability that every practitioner must acco…

A single backtest can show that strategy was profitable, but it does not always show whether the strategy was competitive. This is especially true for systematic futures strategies. A trend-following strategy can have a positive Sharpe ratio, a long live-like performance history, and a reasonable drawdown, but those numbers are difficult to interpret without a relevant comparison group. A broad e…

We document a persistent intramonth momentum cycle in U.S. sector ETFs that yields meaningful risk-adjusted returns when properly sequenced. Using the nine original Select Sector SPDR ETFs and SPY as the market benchmark from December 1998 through June 2026, we show that trailing 252-day sector momentum generates a positive spread on the first trading day of the month—and then sharply reverses on…

Hello all, We hope you're enjoying the middle of summer. Here's a quick recap of the latest improvements and additions we've prepared for Quantpedia during the past month – API users can now directly download the full research papers written by Quantpedia – 10 new Quantpedia Premium strategies – 2 new related research papers – 7 new backtests – and finally, 5 new posts on our Quantpedia blog

Ten new strategies have been added. Two new related research paper have been included into existing strategy reviews and five new short free blog posts have been published during last few weeks. Plus, seven trading strategies have been backtested in QuantConnect in the previous two weeks.

Trend following was one of the most persistent anomalies in finance for nearly two centuries, yet its performance deteriorated sharply after the 2008 financial crisis. An analysis of approximately 100 liquid futures contracts from 1995 to 2025 shows that this decline is highly selective. The decisive factor is not asset class, liquidity, market electronification, or strategy crowding, but volatil…

A profitable backtest is rarely the end of a research process. In professional quantitative research, the more important question often comes after the first positive result: is the strategy genuinely new, or is it simply another version of an already known factor, timing rule, or anomaly? This is especially relevant when a researcher develops a new systematic strategy with a clean historical eq…

Recent interesting research from Cakici and Zaremba, highlights an often-overlooked aspect of machine learning for equity return prediction: the choice of prediction target. Rather than focusing on increasingly sophisticated model architectures or feature engineering, the authors show that how returns are represented during training has a much larger impact on predictive performance. In particula…

Financial markets are often viewed primarily through lens of equity index movements, as they attract most of the attention. However, commodities represent an important component of the global economy, and shocks in commodity markets can have a significant impact on broader financial assets. From time to time, market stress originates outside equities. A recent example are the repeated US attacks…

Large language models are already capable of summarizing financial research, but are they ready to conduct it? In their latest paper, researchers from Google, Boston College, and Columbia introduce a framework where a large language model doesn't just fetch data—it acts as an autonomous AI research agent capable of navigating the "hypothesis discovery loop." By placing an LLM within a human-desig…

Hello all, What have we accomplished in the last month? – A new Live Strategies reporting section – Quantpedia Awards 2026 Winners Interview – 14 new Quantpedia Premium strategies – 3 new related research papers – 7 new backtests – and finally, 8 new posts on our Quantpedia blog

Nine new strategies have been added. and two new short free blog posts have been published during last few weeks. Plus, one trading strategy has been backtested in QuantConnect in the previous two weeks.

Investors often face a simple but important problem. They receive a fund equity curve, a strategy track record, or a portfolio performance series, but they do not know what is actually inside. The manager may provide only a broad description, while the realized return stream may in practice be driven by a mix of momentum, tactical allocation, defensive overlays, cross-asset rotation, or other sys…

In the modern retail attention economy, Bitcoin and the NASDAQ-100 are not merely separate assets; they are competing narratives. Both appeal to the same pool of speculative capital, the same appetite for asymmetric upside, and the same behavioral forces of FOMO, herding, and recency bias. When technology stocks dominate the imagination, capital clusters around QQQ and the artificial intelligence…

Five new strategies have been added. Three new related research paper have been included into existing strategy reviews and six new short free blog posts have been published during last few weeks. Plus, six trading strategies have been backtested in QuantConnect in the previous two weeks.

An autonomous research agent replicated nine published US-equity anomalies on clean, survivorship-free data. The question is not only what it found (out-of-sample decay is the rule, and on a faithful build none survive — the lone apparent survivor turned out to be a construction error the discipline caught) but whether you can trust an agent to find it, and the checks that decide the answer. The …

Factor-based portfolio analysis provides a structured framework for understanding the drivers of investment performance, risk, and long-term behavior. This article applies a set of complementary methods to decompose portfolios into their underlying exposures, evaluate their statistical and economic significance, and assess their behavior across different market regimes. The analysis is conducted …