Additionally, the field has been evolving to create new investment technologies that ultimately simplify the process. Over the past few decades, the field of quant investing has made significant advancements in the world of finance. If we succeeded at least a little, we are immensely happy.Īre you looking for more strategies to read about? Sign up for our newsletter or visit our Blog or Screener.ĭo you want to learn more about Quantpedia Premium service? Check how Quantpedia works, our mission and Premium pricing offer.ĭo you want to learn more about Quantpedia Pro service? Check its description, watch videos, review reporting capabilities and visit our pricing offer.Īre you looking for historical data or backtesting platforms? Check our list of Algo Trading Discounts.The widespread application of quantitative investment strategies is a relatively recent trend. With Quantpedia’s constantly growing database of 650+ quantitative trading strategies, we strive hard to provide you inspiration for your future strategies. Our plan was to show that there are multiple – entirely different – strategies, which may work well even in such a hard-to-predict environment as the year 2021 definitely is. We wanted to inspire you to find new ideas for your next investment strategies. Our main goal was to illustrate how markets (and quantitative strategies together with them) constantly change. The objective of the series was even NOT to find the best strategies for the rest of 2021. We all know that such strategies do not exist. However, exactly this illustrates the point of being able to adapt to ever-changing market conditions constantly.Ĭontrary to the optimistic headings, the aim of this series of articles was NOT to find the best strategies ever. Yes, the performance of this factor strategy variant has fluctuated a lot in recent years (and it definitely didn’t make it to the list of top strategies a few years ago). This time, the strategy is slightly more complex, but the main idea is still connected to buying stocks in positive and selling stocks in negative trends. We do not have access to all data needed for this strategy, so we use liquid ADRs listed on NYSE, AMEX and NASDAQ. The original paper advocates using 500+ Shanghai and Shenzen A-shares. Trend factor in Chinese stocks has actually, as of August, become the best strategy of 2021. Strategy idea: long-short highest-lowest expected return quintile based on the trend signal among largest stocksĪpparently, not all China has struggled in 2021. # Instruments: Chinese ADRs on NYSE, AMEX and NASDAQ (original paper uses 500+ Shanghai and Shenzen A-shares) It made it to the top 5 quantitative strategies of 2021. COT report presents information about the positions of hedgers and speculators in each individual commodity.ĬOT report strategy presented here was struggling strongly in the last few years (as commodity market overall) however, it started 2021 off the strong foot, and it’s been recovering its past losses gradually. One such example is the COT report.īased on the information contained in the COT report, one may try to predict the price development of associated commodities. There are actually a plethora of various sentiment surveys and measures, which may carry an alpha in predicting asset prices. Social media, however, is definitely not the only sentiment measure. Sentiment strategies are gaining more and more popularity recently, especially due to wide-spreading social media trading. More specifically, it is based on sentiment in the trading of agricultural commodity futures. Strategy #5 in our list of best-performing strategies is yet another entirely different from all the other ones in the list. Strategy idea: long-short commodities with bullish-bearish speculator and bearish-bullish hedger sentiment
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