Blog - QuantPedia

What’s the Relation Between Grid Trading and Delta Hedging?

February 23, 2022

Delta hedging is a trading strategy that aims to reduce the directional risk of short option strategy and reach a so-called delta-neutral position. It does so by buying or selling small increments of the underlying asset. Similarly, grid trading is a trading strategy that buys/sells an asset depending on its price moves. When the price falls, it buys and sells when the price rises a certain amount above the buying price. This article examines the similarities between delta hedging and grid trading. Additionally, it analyzes numerous versions of grid trading strategies and compares their advantages and disadvantages.

Are There Seasonal Intraday or Overnight Anomalies in Bitcoin?

February 18, 2022

At Quantpedia, we love seasonality effects, and our screener includes several strategies that exploit them. These anomalies are fascinating since they usually offer a favorable risk and reward ratio and are commonly invested only during short periods. Frequently, these strategies are valuable additions to portfolios because they are not that sensitive to overall market performance. This short article presents a brief examination of some possible Bitcoin seasonalities.

Quantpedia Premium Update – 15th February 2022

February 15, 2022

Six new strategies have been added.

Ten new related research papers have been included into existing strategy reviews and three short free blog posts have been published during last few weeks.
Plus, five trading strategies have been backtested in QuantConnect in the previous two weeks.

Cryptocurrency Stablecoins – A Review of Recent Research

February 15, 2022

Since January 2020, the annualized volatility of Bitcoin stands around 70%, 6-times the volatility of commodities like Gold or Oil, more than twice the volatility of the S&P 500, and 10 times the volatility of the EURUSD exchange rate. Stablecoins represent a specific category of cryptocurrencies aiming to keep their value stable against a benchmark asset, usually a fiat currency like the US dollar. So how do stablecoins work, and do they really offer needed stability?

How to Utilize Anticipated ETF Rebalances

February 10, 2022

For many investors, passive investing can be a no-brainer and is suggested by many, especially those who think that the walk is random. However, it does not mean that the passive investors do not trade – the ETFs trade instead of them. The indexes that are being tracked are rebalanced to account for changes in the market cap, mergers, delistings, or IPOs. The novel research shows that it matters how the ETFs trade. Even though the differences are not that big, for a long-term horizon, the differences compound. For active traders, the paper shows that the rebalancing of the ETFs could be utilized by trading in advance.

Should Factor Investors Neutralize the Sector Exposure?

February 8, 2022

Factor investors face numerous choices that do not end even after picking the set of factors. For instance, should they neutralize the factor exposure? If the investor pursues sector neutralization, does the decision depend on a particular factor? Or are the choices different for the long-only investor compared to the long-short investor? The research paper by Ehsani, Harvey, and Li (2021) answers these questions and provides investors with an interesting insight on this topic.

Quantpedia Highlights in January 2022

February 3, 2022

Hello all,

What have we accomplished in the last month?

– A new Dollar-Cost Averaging Quantpedia Pro report
– 10 new Quantpedia Premium strategies have been added to our database
– 22 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 10 new backtests written in QuantConnect code
– And finally, 3+3 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

Quantpedia Premium Update – 1st February 2022

February 2, 2022

Four new strategies have been added.

Eleven new related research papers have been included into existing strategy reviews and three short free blog posts have been published during last few weeks.
Plus, five trading strategies have been backtested in QuantConnect in the previous two weeks.

Introduction to Dollar-Cost Averaging Strategies

January 31, 2022

Most of you have probably heard the saying that somebody “averaged” into or out of his investment position. But what does it exactly mean, and what different dollar-cost averaging strategies exist? We plan to unveil our new “Dollar-Cost Averaging” report for Quantpedia Pro clients next week, and this article serves as a short introduction to this term.

Factor Performance in Bull and Bear Markets

January 27, 2022

Do common equity factors suffer during bear markets? Undoubtedly, the market factor is a rather unpleasant investment during bear markets, but what about the long-short factors? Are they able to deliver performance? The research paper by Geertsema and Lu (2021) provides several answers and interesting insights.