I was recently contacted and asked if I wouldn't mind writing a short
review of the Quantpedia website in return for complimentary access to
that site's premium section, and I am happy to do so. Readers can get a
flavour of the website by perusing the free content that is available in
the Screener tab and reading the Home, About and How We Do It tabs.
Since these are readily accessible by any visitor to the site, this
review will concentrate purely on the content available in the premium
section.
The thing that strikes me is the wide and eclectic range
of studies available, which can be easily seen by clicking on the
keywords dropdown box on the screener tab. There is something for almost
all trading styles and I would be surprised if a visitor to the premium
section found nothing of value. As always the devil is in the details,
and of course I haven't read anywhere near all the information that is
available in the various studies, but a brief visual overview of the
various studies' performance taken from Quantpedia's screener page is
provided in the scatterchart below:
(n.b. Those studies that lie exactly on the y-axis (volatility = 0%) do not have no volatility, but no % figure for volatility was given in the screener.)
As can be
seen there are some impressive performers, which are fully disclosed in
the premium section. A few studies, irrespective of performance, did
catch my immediate attention. Firstly, there are a couple of studies
that look at lunar effects in stock markets and precious metals. Long
time readers of this blog will know that some time back I did a series
of tests on the Delta Phenomenon, which is basically a lunar effect
model of price turning points. The conclusion of the tests I conducted
was that the Delta Phenomenon did have statistically significant
predictive ability. The above mentioned studies come to the same
conclusion with regard to lunar effects, although via a different testing methodology. It is
comforting to have one's own research conclusions confirmed by
independent researchers, and it's a valuable resource to be able to see
how other researchers approach the testing of similar market hypotheses.
Secondly, there is a study on using Principal Components Analysis to
characterise the current state of the market. This is very much in tune
with what I'm working on at the moment with my neural net market
classifier, and the idea of using PCA as an input is a new one to me and
one that I shall almost certainly look into in more detail.
This
second point I think neatly sums up the main value of the studies on
the Quantpedia site - they can give you new insights as to how one might
develop one's own trading system(s), with the added benefit that the
idea is not a dead end because it has already been tested by the
original paper's authors and the Quantpedia site people. You could also
theoretically just take one of the studies as a stand alone system and
tweak it to suit your own needs, or add it as a form of diversification
to an existing set of trading systems. Given the wide range of studies
available, this would be a much more robust form of diversification than
merely adjusting a look back length, parameter value or some other such cosmetic adjustment.
In
conclusion, since I can appreciate the value in the Quantpedia site, I
would like to thank Martin Nizny of Quantpedia for extending me the
opportunity to review the premium section of the site.
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