In this article we will test the opening range breakout (ORB) strategy. The strategy involves going long if the first n minutes of the trading session are up. And if the first n minutes are down, you short. The basis of this post comes from the following two papers: Both of these papers argue that [ ]
In this article we will look at whether it is possible to predict a crash using historical market data. Related reading Before reading this article, it s useful to understand the basics backtesting in Python. We recommend you read these: Getting started: using Python to find alpha [2021] Do Stocks Exhibit Momentum? A reality check [2021] [ ]
In this article we will find stocks and ETFs that have high levels of autocorrelation, and try to determine whether that data can be used to build a trading strategy. Related articles: Getting started: using Python to find alpha [2021] Do CAPM efficient portfolios really outperform random ones? [2021] Do Equities Really Follow a Normal [ ]
Can principal component analysis predict stock prices in 2021? We use historical returns to determine if this type of analysis still works.
In this article we will look at leveraged ETFs and how they act long-term (known as leveraged ETF decay). The conventional wisdom is that you should never hold a leveraged ETF for longer than the rebalance period (often one day), since there is significant decay in value over that time. But is this really true? [ ]
Is Modern Portfolio Theory still relevant today? We compare the returns of an efficient portfolio to random ones to find out.
Do stocks do worse on Mondays? Do they do better in January? We look at patterns in stock returns to determine if any of these "rules" still hold today.
Is it still possible to predict stock returns using only momentum? We analyze the data to find out.
Past studies have found momentum in the movement of stock prices. We perform a statistical analysis to determine if this is still true in 2021.
The basis for modern portfolio theory, as well as many quantitative strategies for investing or trading is that financial instruments especially equities follow a normal distribution. In our articles on finding alpha, CAPM, or even pairs trading, we assume a generally normal (but not necessarily perfectly normal) distribution. But do they still do [ ]