With only 0.6% of mutual funds outperforming the benchmark index, many individual investors have limited opportunity to gain alpha. The authors set out to discover if these investors can attain…
Sentiment data shows the buyer-to-seller ratio of an instrument and it can be used to implement a mean reversion algorithm. Read More
The Alpha Engine is a trading strategy that is the result of nearly three decades of study and was found to be profitable on many currencies. The Java code to…
Textual analysis can be broken up into two main groups: quantitative and qualitative. Quantitative texual analysis relates to numeric data published by governments and companies, such as economic data or…
You may remember from your primary school days that objects in motion tend to stay in motion unless acted upon by an equal or opposite force. It has been suggested…
In the past few years, there have been a variety of experiments utilizing sentiment from twitter to predict price fluctuations of the price of Bitcoin. This study by three Stanford…
Overfitting is a chief concern for most systematic traders, and rightfully so. Traders use quantitative analysis methods to evaluate their backtests and tweak their strategies for better performance. However oftentimes…
For a systematic trader, effectively managing risk in a trading system is crucial to the long-term viability of the system. The most obvious performance metric for testing a strategy is…
In this recently released study, the effects of momentum and contrarian strategies on the cryptocurrency market were investigated and analysed. The momentum and contrarian strategies were executed on the top…
Introduction The experience of the recent years as well as research results and regulatory requirements suggest the consideration of market regimes. Nevertheless, the largest part of today’s financial risk management…
