QuantPedia
The Encyclopedia of Algorithmic and Quantitative Trading Strategies
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Latest posts
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Custom Strategy Grading with Quantpedia API
A trading strategy’s value goes beyond returns—it also depends on what it adds to a portfolio. Our latest case study combines Quantpedia’s Strategy Grading report with a custom API workflow to compare WTMF against 44 peer strategies. The results highlight a useful trade-off:…
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Shorting Leveraged ETFs: The Role of Borrowing Costs and Rebalancing in Volatility-Decay Strategies
Leveraged ETFs provide amplified exposure to an underlying index, but their daily reset mechanism creates volatility drag, which can substantially reduce their long-term value. This raises the possibility of exploiting the effect by simultaneously shorting leveraged ETFs with…
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Bitcoin Runs on a Clock: Why Every Price Indicator Dies and the Halving Clock Doesn’t
For anyone trading or investing in Bitcoin, a familiar indicator can become a dangerous comfort blanket. Josh Molnar’s Bitcoin Runs on a Clock argues that classic cycle signals—such as MVRV, the Mayer Multiple and Pi Cycle Top—have weakened as Bitcoin’s price swings become less…
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Does More History Help? A Market-Regime HMM and the Trouble with Out-of-Sample Evaluation
This paper investigates whether longer historical training periods improve the out-of-sample performance of a Hidden Markov Model (HMM) used for identifying financial market regimes. Four four-state Gaussian HMMs are compared, differing only in the starting point of their…
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Quantpedia in September 2026
Hello all, With autumn underway, we’d like to share the latest developments at Quantpedia.… – Screener and API extended with two new fields: Transaction Costs and Robustness – 11 new Quantpedia Premium strategies – 7 new related research papers – 8 new backtests – and finally, 6…
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Trading the Multi-Asset Drift Around U.S. Elections
We analyze a multi-asset calendar anomaly around U.S. federal elections that is consistent across assets and simple to trade. While our previous study documents a robust pre-election drift, the cross-asset pricing of its D+1 resolution remains unmapped beyond SPY. Using a…
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A Century of Meme Stocks and the Price of Coordination
Meme stocks are commonly studied through social-media activity, but this approach limits both the historical scope of research and the signals available to practitioners. In A Century of Meme Stocks and the Price of Coordination, Chad Schmerling develops an alternative: a…
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A New Stage, a New Deadline: Quantpedia Awards 2027 Are Here Again!
The Quantpedia Awards are back—and this time, we’re taking the winners’ announcement to the stage! For the 2027 edition, we’re bringing together an attractive prize pool, a panel of investment professionals and academics, and a new opportunity to put outstanding quantitative…
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Can Weakening Morning Order Flow Predict SPY Reversals?
In a previous article Building and Testing Trend-Following Strategies on One-Minute SPY Data, we investigated whether retail activity indicators derived from one-minute SPY data could be used to construct profitable trend-following strategies. The results suggested that we are…
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Building and Testing Trend-Following Strategies on One-Minute SPY Data
Intraday trading strategies have gained increasing attention as advances in computing power and market data availability have made intraday strategy analysis more accessible. While many trading strategies are traditionally developed and evaluated using daily price data, shorter…