quant investing

3 min read 2021-04-30 00:52:03

Momentum in individual stock quant strategies

One of the challenges of using a quantitative approach to investing in individual stocks is choosing the actual strategies to use among of sea of

3 min read 2021-02-20 16:39:21

Time for my annual post updating statistics for the various portfolios that I track. This is the last post rounding up 2020 statistics. All portfolio

4 min read 2021-01-20 17:19:37

This post updates the quant strategies performance through year end 2020. The 2019 version of the post is here. If you’re new to all this quant

3 min read 2020-08-11 15:10:49

In today’ post, I’ll formally outline a model I’ve alluded to several times in the past, the VOL-COMP model. The model is a combination of the

3 min read 2020-07-17 18:25:28

In this post I present an extended backtest of the Volatility Curve Model. To understand the methodology and investment model behind my analysis you

3 min read 2020-07-11 14:36:53

In this post I introduce an enhancement to the original volatility curve model. The enhanced version of the model introduces a mean reversion

3 min read 2020-06-24 18:09:07

The VOL CURVE model recently closed out it’s latest trade, that was started by the risk-off signal on Feb 24th, 2020. Here I just wanted to update

3 min read 2020-03-09 16:51:29

Recently, I have received a bunch of questions on the volatility curve model that I introduced a few months back. In this post I wanted to answer a

4 min read 2020-01-15 23:00:45

This post updates the quant strategies performance through year end 2019. The 2018 version of the post is here. If you’re new to all this quant

2 min read 2019-12-27 19:47:43

In this post I take a look a popular and quite simple quant strategy that combines value and profitability, the Greenblatt Value Strategy. Results

5 min read 2019-12-20 19:57:31

Update: added comparison to SPY-COMP. This post introduces a quant trading model based on volatility. More specifically it uses the prices of

3 min read 2019-12-04 18:10:44

Back in March of this year I posted about a low volatility quant strategy that I added to the QuantPulse subscription. In that post I mentioned a

2 min read 2019-03-20 18:11:31

In this post I describe a simple low volatility quant strategy that outperforms the market and another strategy that combines low volatility with

1 min read 2019-01-21 19:27:11

All of the QuantPulse portfolios and books have been updates for members as of yesterday, January 20, 2019. Also, all the performance figures have

1 min read 2019-01-18 02:47:32

This post updates the quant strategies performance through year end 2018. For this year I decided to combine the 2018 year end performance and the