The Statistic That Passed Every Test I Had And Still Isn't an Edge [Jan Heger]

It cleared the control test that kills almost everything I try and that I still wont trade. Thats because theres a gap between those two things and it is the most useful thing Ive learned building this system, so let me show you what actually happened. The pattern For this particular example, I am trading the market on the daily gaps. I noticed what looked like a pull toward round

yizon.substack.com

The Signal Ceiling: Why No Single-Bar OHLCV Edge Beats Costs in MNQ [Aligrithm]

Open any retail futures forum and you will find the same fourteen setups traded as gospel: the opening range breakout, the gap fade, the gap continuation, the volume spike, the liquidity grab reversal, the Asia session expansion. Each comes with a chart, a win rate, and a story about why it works. Mathias Mesfin took the whole list, wired it to a bar-close signal and next-bar-open fill on Micro

aligrithm.com

Quick 5 ETF Rotational Strategy Returns the Upside of Stocks with Half the Risk [Paper to Profit]

The last few posts have been a lot to chew through. So here is a simple ETF rotational strategy that you can do to capture the upside of equities while eliminating half the risk. The inspiration for this strategy comes from the paper Looking for Synergy with Momentum in Main Asset Classes which you can read for yourself here. Not a subscriber? Become one today for more research delivered to your

papertoprofit.substack.com

Recent Quant Links from Quantocracy as of 08/03/2026

This is a summary of links recently featured on Quantocracy as of Monday, 08/03/2026. To see our most recent links, visit the Quant Mashup. Read on readers! Quantitativo weekly #4 [Quantitativo] The only sustainable competitive advantage is to learn faster than your competition. Arie de Geus Implementing research papers can sometimes work, though a perfect […] The post Recent Quant Links from Quantocracy as of 08/03/2026 appeared first on Quantocracy.

quantocracy.com

Quantitativo weekly #4 [Quantitativo]

The only sustainable competitive advantage is to learn faster than your competition. Arie de Geus Implementing research papers can sometimes work, though a perfect replication often fails. Its never wasted effort, though: the ideas in the paper end up feeding new ideas and good conversations with other researchers. Heres the 4th edition of the Quantitativo weekly, featuring papers that

quantitativo.com

Supertrend, flipped to death: the most-taught indicator on the internet [The Refutation]

If you learned to trade from YouTube, you probably learned the Supertrend. It topped our folklore hunt being the single most-taught beginner tool on the internet, complete with the green-line/red-line screenshots and the promise that the trend will tell you when to start riding the new trend. So we did the honest thing: we tested it exactly the way it's taught. Figure 1 is the tool itself, on

therefutation.com

Down June & July: 11 of 13 Septembers Closed Lower [Quantifiable Edges]

Both June and July saw SPX close lower. Seasonality for those two months it is generally favorable. But since 1950, two of the weakest months are August (3rd worst) and September (worst). So in this weekends letter I decided to see how August and September fared when we already had June and July slipping. The table below gives us an answer. After down closes in both June and July. August has

quantifiableedges.com

Conformal Prediction in Quantitative Finance [Vertox Quant]

In one of our previous articles, we built a neural-network-based volatility forecaster that beats baseline models in all volatility regimes: Volatility Forecasting using Neural Networks Vertox Jun 22 Volatility Forecasting using Neural Networks Today, we are gonna look at something weve never done in any article before: Neural Networks. Read full story Now no need to be sceptical about the

vertoxquant.com

Making Option Pricing Models More Practical from @harbourfrontquant.substack.com

The Black-Scholes-Merton model is one of the cornerstones of modern quantitative finance. Despite its elegance and widespread use, its simplifying assumptions limit its ability to capture many features of real financial markets. As a result, researchers continue to extend the model to make it more realistic and applicable in practice. In this post, we discuss two such extensions. The first

blog.harbourfronts.com

Recent Quant Links from Quantocracy as of 07/31/2026

This is a summary of links recently featured on Quantocracy as of Friday, 07/31/2026. To see our most recent links, visit the Quant Mashup. Read on readers! The 58% Win Rate That Was My Own Code Lying To Me [Jan Heger] Below I have shared my story of an idea that passed four checks Id […] The post Recent Quant Links from Quantocracy as of 07/31/2026 appeared first on Quantocracy.

quantocracy.com

The 58% Win Rate That Was My Own Code Lying To Me [Jan Heger]

Below I have shared my story of an idea that passed four checks Id set in advance and died on the fifth, and why the fifth one is now the first thing I run. The setup I like to day-trade MNQ, and Id built a framework around specific price levels that I have created. The core claim was simple: price reacts at certain levels within each hundred-point block. Falls into one, bounces. Thanks for

yizon.substack.com

Fair Value as an Adaptive Low-Pass Filter: LAFO for Mean Reversion [Aligrithm]

Every mean-reversion trade starts with a lie you tell yourself about where price "should" be. You call it fair value, you subtract it from the spot price, and you bet the gap closes. Most traders reach for a moving average and stop thinking. Xu, Firoozye, Koukorinis, Treleaven, and Zhu at UCL take the question seriously and reframe fair value as the output of a tunable low-pass filter,

aligrithm.com

We tested the 50/100 MA ribbon 55 different ways over five years [The Refutation]

Move like the wind, be still as the mountain, the old strategists taught. The moving-average ribbon promises to tell you which moment you're in. The catch: it's built from the past, so the wind it reads has already blown. Stack a fan of moving averages on a chart and assign colours to them. Wait for the bands to fan out and align, and price is "in a trend." When the lines

therefutation.com

Bitcoin's Overnight Returns Forecast the VIX [Aligrithm]

Split one Bitcoin day into two pieces and only one of them predicts anything. The piece that runs while US stock exchanges are closed, from yesterday's 4pm close to today's 9:30am open, carries a signal for tomorrow's VIX. The piece that runs while those exchanges are open carries nothing. Gu, Lin, and Liu ran five-minute Bitcoin data from 2018 to 2023 through that split and found

aligrithm.com

Recent Quant Links from Quantocracy as of 07/29/2026

This is a summary of links recently featured on Quantocracy as of Wednesday, 07/29/2026. To see our most recent links, visit the Quant Mashup. Read on readers! I Invented 2021 Candle Types to Find the One Holy Grail [Paper to Profit] We spend our trading lives looking at charts, plugging in different indicators, not to […] The post Recent Quant Links from Quantocracy as of 07/29/2026 appeared first on Quantocracy.

quantocracy.com

I Invented 2021 Candle Types to Find the One Holy Grail [Paper to Profit]

We spend our trading lives looking at charts, plugging in different indicators, not to realize that we are painting on top of the same old picture. Instead of trying a different color of paint, we need to change the canvas. And in doing just that, you may have won yourself a spot in the lead. Heres the thing: Everyone is looking at the same charts. Everyone has access to the same information

papertoprofit.substack.com

Path Signatures: Does the Shape of Price Paths Predict Returns? [Delphic Alpha]

Every indicator you use on a rolling window, momentum, RSI, Bollinger bands, discards the order in which events occurred. Two 2-hour windows with identical total return and identical range expansion score identically, even if one saw price rally first and volatility respond, while the other saw volatility spike first and price catch up later. These are different market events (a breakout versus a

delphicalpha.substack.com

A Microstructural Account of the Demise of Short-Term Trend-Following from @quantpedia.bsky.social

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

quantpedia.com

A Database of Historical Macroeconomic Events [Concretum Group]

Most quantitative backtests start with prices: a clean historical database, ideally free of survivorship bias and the usual data traps. We have written a lot about that already, and shared practical ways for independent researchers to build more reliable datasets. At some point, though, research usually asks for more than prices. How does a strategy behave around major macro announcements? Does

concretumgroup.substack.com

Does Your Backtest Survive the Adverse Same-Bar Fill? A 48.8 Million-Pair Stress Test [Rulyfi]

Key Takeaways An OHLC bar can show that take-profit and stop-loss prices were both touched. It cannot show which came first. Run the same search under both TP-first and SL-first before promoting a candidate. We evaluated 48,825,000 identical configurations twice, forming 97,650,000 backtest runs. Total return changed in 37,168,124 pairs, or 76.13%. Among the changed pairs, the median SL-first

rulyfi.com

Chicken and Egg: Use the SPX to Time the VIX, Not Vice Versa [Aligrithm]

Twenty years of retail research points the arrow one way. You read the VIX, and the VIX tells you where the S&P 500 is going. Oversold VIX means complacency, sell stocks; spiked VIX means panic, buy the dip. Connors built a cottage industry on it, and every trading forum still runs some version of the "VIX says buy" screenshot. Rob Hanna ran the tests both directions and found the

aligrithm.com

When Risk Is Not Rewarded [Concretum Group]

Modern portfolio theory is built on a remarkably intuitive idea: investors should earn higher expected returns for bearing greater risk. This principle lies at the heart of the Capital Asset Pricing Model (CAPM), one of the most influential models in financial economics. According to the theory, stocks with higher systematic risk should compensate investors with higher long-term returns. Yet among

concretumgroup.substack.com

Podcast: Why I stopped trying to predict the market [Trading the Breaking]

In this episode of House of Quants, listeners will discover: My personal perspective: The episode traces the journey from engineering, statistics, data science, and algorithmic trading toward quantitative research, explaining how each field contributed to a deeper understanding of uncertainty, validation, execution, and risk. Why long-term market forecasting often is useless: It examines the

quantbeckman.com

Recent Quant Links from Quantocracy as of 07/27/2026

This is a summary of links recently featured on Quantocracy as of Monday, 07/27/2026. To see our most recent links, visit the Quant Mashup. Read on readers! The Inflation Compass Model [CSS Analytics] When inflation shifts from low to high, a traditional 60/40 equity-and-bond allocation breaks down because both fall together. You need real assets […] The post Recent Quant Links from Quantocracy as of 07/27/2026 appeared first on Quantocracy.

quantocracy.com

The Inflation Compass Model [CSS Analytics]

When inflation shifts from low to high, a traditional 60/40 equity-and-bond allocation breaks down because both fall together. You need real assets to act as the ballast. Ray Dalio Inflation is one of the most powerful forces in asset allocationand one of the hardest to measure in real time.Everyone understands why it matters. The harder question is how to capture it before markets

cssanalytics.wordpress.com

Crafting a Trading Strategy [Handelsmeisterei]

Alpha rarely arrives as one heroic discovery. It is more like an ant colony carrying a leaf many times its own size: dozens of small contributions, each unimpressive on its own, somehow producing an impressive result. Unfortunately, research also resembles an ant colony in another respect. Much of the work involves running in circles. The first version

handelsmeisterei.de

The NAAIM-AAII Equities Allocation Spread: Smart Money Relative Sentiment Indicator [Portfolio Optimizer]

In a previous blog post, I described the NAAIM Exposure Index, which represents the average exposure to U.S. equity markets as reported by members of the National Association of Active Investment Managers (NAAIM) in a weekly survey. In this second post of this series on sentiment indicators, I will show how that survey of professional money managers can be turned into a relative sentiment

portfoliooptimizer.io

GAMLSS/ZAGA: Conditional IR* Distribution For Trading Strategies [Krzysztof Ozimek]

I wrote my newest paper mainly to challenge the conventional way of judging an investment or trading strategy through a single observational point of its performance metric an approach that discards precious information about a strategy's effectiveness and can lead to false conclusions. Rather than routinely collapsing a strategy's performance metric to one observational scalar, I

drkrzysztofozimek.com

Recent Quant Links from Quantocracy as of 07/25/2026

This is a summary of links recently featured on Quantocracy as of Saturday, 07/25/2026. To see our most recent links, visit the Quant Mashup. Read on readers! Network Momentum [Quantitativo] Networks are everywhere. All you need is an eye for them. Albert-Lszl Barabsi. Albert-Lszl Barabsi is a Romanian-born Hungarian-American physicist, renowned for his pioneering discoveries […] The post Recent Quant Links from Quantocracy as of 07/25/2026 appeared first on Quantocracy.

quantocracy.com

Network Momentum [Quantitativo]

Networks are everywhere. All you need is an eye for them. Albert-Lszl Barabsi. Albert-Lszl Barabsi is a Romanian-born Hungarian-American physicist, renowned for his pioneering discoveries in network science. In his seminal 1999 paper with Rka Albert, Emergence of Scaling in Random Networks, he reshaped how we understand connected systems. His 2002 book Linked carried the

quantitativo.com