Papers With Backtest: An Algorithmic Trading Journey

In this episode of "Papers With Backtest: An Algorithmic Trading Journey," the hosts dive deep into the intriguing research paper titled "Opposing Seasonalities in Treasury vs. Equity Returns." This analysis reveals a compelling narrative about how U.S. Treasury bonds exhibit a notable annual cycle in returns, with fluctuations exceeding 80 basis points that are inversely correlated with equity re...

In this episode of Papers With Backtest, we embark on an enlightening exploration of Time Series Momentum, a pivotal concept in algorithmic trading that posits an asset's historical performance can serve as a reliable indicator of its future price trajectory. Drawing insights from a seminal research paper published in the Journal of Financial Economics, we meticulously analyze a comprehensive data...

In this episode of "Papers With Backtest: An Algorithmic Trading Journey," we dive deep into the intriguing research paper titled "Does Trend Following Work on Stocks?" that challenges conventional wisdom in the trading community. As algorithmic trading enthusiasts, we often associate trend-following strategies with futures trading, but this episode uncovers the potential of applying these techniq...

In this episode of "Papers With Backtest: An Algorithmic Trading Journey," we dive deep into the compelling world of the low volatility factor effect in stocks, a topic that challenges the conventional high-risk, high-reward investing narrative. As seasoned traders and investors, we know that the landscape of algorithmic trading is ever-evolving, and understanding nuanced strategies can be the key...

In this captivating episode of "Papers With Backtest: An Algorithmic Trading Journey," our hosts embark on an insightful exploration of a groundbreaking research paper that uncovers the fascinating relationship between market sentiment and the overnight anomaly in stock trading. This episode is a must-listen for traders and investors eager to enhance their strategies and uncover hidden opportuniti...

In this episode of "Papers With Backtest: An Algorithmic Trading Journey," we delve deep into the fascinating world of pairs trading, a classic strategy that has captured the interest of traders and academics alike. Join our hosts as they explore a landmark study by Gattev, Goetzmann, and Ruenhorst, which underlines the academic significance and potential profitability of this trading approach. Pa...

In this episode of Papers With Backtest, we take a deep dive into the groundbreaking research paper "Betting Against Beta" by Andrea Frazzini and Lassa Haida-Peterson, challenging traditional notions of risk and reward in the world of algorithmic trading. Often, investors have been led to believe that higher risk inherently leads to higher returns. However, our hosts unravel this misconception by...