Quantpedia - Radovan Vojtko

Quantpedia’s Black Friday Deal

Do not wait any longer and take advantage of our offer before the 2026 price increase. Only once a year, Quantpedia’s Black Friday Deal offers you 33% more of our services for the same price.

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#quant #trading

Leveraged ETFs in Asset Allocation: Opportunity or Trap?

Our objective is to examine if, and how, leveraged ETFs can be systematically integrated into portfolio construction so that their benefits can be captured while mitigating their inherent risks.

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#quant #fintwit

In this study, we apply concepts from technical analysis to construct and refine a trend-following strategy for Bitcoin, progressing step by step from a simple MACD setup toward an improved multi-timeframe model.

quantpedia.com/how-to-desig...

#macd #bitcoin #trading #strategy #quant #fintwit

Quantpedia in October 2025

What have we accomplished in the last month?
– Updated architecture for Quantpedia’s AI Assistant
– 12 new Quantpedia Premium strategies
– 7 new related research papers
– 9 new backtests
– 5 new blog posts

quantpedia.com/quantpedia-i...
#quant #trading #fintwit #chatbot

The premium — the gap between MicroStrategy’s equity value and the market value of its Bitcoin holdings — has puzzled analysts, defied traditional valuation logic, and raised the question: why does it not close through arbitrage?

quantpedia.com/how-to-value...

#MSTR #Microstrategy #quant #fintwit

Thanksgiving and Christmas Trading Strategies

Our findings suggest that seasonal consumer spending influences financial markets, with Amazon benefiting around Thanksgiving and gold during Christmas.

quantpedia.com/thanksgiving...

#quant #trading #strategy #fintwit #amazon #amzn #gold #gld

Cryptocurrencies have matured from experimental curiosities into a viable investable asset class. A recent paper summarizes ten facts from the literature that show cryptocurrencies share important similarities with traditional markets.

quantpedia.com/cryptocurren...
#quant #fintwit #crypto #trading

Our strategy highlights systematic style rotations—shifts in value versus growth exposures, as proxied by the IVE–IVW spread—and documents dislocations between real-estate and broad-equity benchmarks, as measured by the IYR–SPY spread.

quantpedia.com/the-end-of-m...

#quant #trading #fintwit #etf

The U.S. equity market has periodically been dominated by a few technology-driven stocks, most recently the so-called “Magnificent Seven.” Our study investigates the potential to exploit technology sector dominance using momentum-based strategies

quantpedia.com/can-technolo...

#quant #technology

Quantpedia in September 2025

– Parametrization 4 reports
– 20 new strategies
– 5 new related papers
– 7 new backtests
– 5 new blog posts
– Plus you are all invited to a new Quantpedia webinar – Unlocking the Power of Calendar and Seasonal Strategies,

quantpedia.com/quantpedia-i...
#quant #fintwit

Gold has been in the headlines lately and many institutional investors often turn to gold mining stocks to gain indirect exposure to gold’s price. Unfortunately, over the long run, gold mining shares structurally underperform physical gold.

quantpedia.com/golds-rally-...

#fintwit #quant #gold #GDX

Extreme market events, once perceived as statistical outliers, have become a central concern for investors. Using VIXY ETF, we will present and test a range of hedging strategies designed to protect portfolios under stress.

quantpedia.com/hedging-tail...

#VIX #trading #quant #fintwit #hedging #ETF

Currency strategies often appear simple on the surface – go long high-yielding currencies, short low-yielding ones, or take a position on the U.S. dollar. But these trades actually mix two distinct components...

quantpedia.com/cross-sectio...

#quant #fintwit #forex #trading #strategies

Leveraged ETFs offer amplified exposure to the S&P 500, promising high returns but exposing investors to volatility drag. We propose a filter that adjusts ETF exposure based on the relationship between short-term volatility and implied volatility.

quantpedia.com/leveraged-et...

#quant #fintwit

What Drives the Excess Bond Premium?

The Excess Bond Premium (EBP – the portion of corporate bond spreads not explained by default risk), a key metric in quantitative finance for gauging credit spreads, has long been a subject of intense scrutiny...

quantpedia.com/what-drives-...

#fintwit #quant

Quantpedia in August 2025

What have we accomplished in the last month?

- Parametrization of the Trading Edge and Technical Analysis reports
– 12 new Quantpedia Premium strategies
– 11 new related research papers
– 9 new backtests
– 5 new blog posts

quantpedia.com/quantpedia-i...

#quant #fintwit

Our article investigates whether the classic pre-holiday effect applies to Bitcoin and assesses the extent to which it can be amplified by an attention-grabbing momentum filter based on local price highs.

quantpedia.com/surprisingly...

#fintwit #quant #bitcoin #crypto #trading #strategy

Some risk-averse investors do not like to hold cryptocurrencies in their portfolios strategically; however, they may be open to investing in crypto-linked assets on a tactical level.

quantpedia.com/bitcoin-etfs...

#quant #fintwit #bito #ibit #fbtc #gbtc #bitcoin

How Can We Explain the Low-Risk Anomaly?

Pass-through mutual funds, which aim to replicate the performance of specific indices, play a crucial role in this context by channeling investor flows and potentially influencing asset prices through demand pressure.

quantpedia.com/how-can-we-e...

#quant

The Best Strategies for FX Hedging

Among the most critical challenges in FX is the design of robust hedging strategies to mitigate exposure to volatile currency movements. How does the financial industry deal with this task?

quantpedia.com/the-best-str...

#quant #fintwit #forex #trading #strategy

Global Housing Returns, Discount Rates, and the Emergence of the Safe Asset, 1465-2024 provides a comprehensive historical overview of real estate yields, offering overview of real estate returns not just over a few decades but over several centuries.

quantpedia.com/quantifying-...

#quant #fintwit

Our central thesis is that gold, owing to its dual role as a universal wealth reservoir and status symbol, experiences concentrated, holiday-induced buying pressure that yields persistent and economically material drift in the GLD ETF.

quantpedia.com/cultural-cal...

#quant #gold #fintwit

YouTube video by Quantbeats Episode 05 – L. Boggan & J. Mulligan: Finding Your Way in Complex Markets

QuantBeats Episode 5 is Live!

We discuss how to use big data and ML to detect market turning points before they hit the headlines and how high-conviction signals and a global asset lens can help traders and portfolio managers make smarter, faster decisions.

www.youtube.com/watch?v=eMld...

#quant

Sunspots as a Natural Signal for Trading Wheat Futures?

When it comes to forecasting commodity prices, traders usually turn to weather patterns, supply-demand data, or economic indicators—but what if the sun itself could offer a clue?

quantpedia.com/sunspots-as-...

#quant #fintwit #trading

What if some modern investment funds operate on dynamics that, closely resemble Ponzi-like behavior? Certain actively managed funds inflate their own performance — and in doing so, unwittingly mislead investors chasing past returns.

quantpedia.com/how-to-ident...
#fintwit #quant #trading #investing

In the recent paper “The Memorization Problem”, the authors highlight a key issue: when LLMs are tested on historical data within their training window, their accuracy may not reflect real forecasting ability, but rather memorization of past outcomes.

quantpedia.com/the-memoriza...
#quant #fintwit

How Fragile is Liquidity?

Although the average bid–ask spread has declined, the kurtosis and skewness of the spread have increased. What does this imply? Markets appear more liquid; however, liquidity evaporates more rapidly during stress events.

quantpedia.com/how-fragile-...
#quant #finsky

Quantpedia in June 2025

– Parameter tayloring
– New embeds
– 4th episode of QuantBeats
– Reminder of the exclusive Lightspeed offer
– 12 new Quantpedia Premium strategies
– 10 new related papers
– 7 new backtests
– 4 new blog posts

quantpedia.com/quantpedia-i...
#quant #fintwit #quantedia

Scheduled corporate events induce market reactions that can be analyzed to reveal predictable return patterns. In this work, we focus on examining the return drift exhibited by technology stocks in the days surrounding their respective conferences.

quantpedia.com/an-empirical...

#quant #fintech

What matters most isn’t the level or direction of the machine learning model’s forecast but how much it differs from a simple, price-based benchmark—such as a naive moving average signal. When that gap is wide, it often reveals hidden mispricings.

quantpedia.com/can-we-profi...
#quant #fintwit #ai