The Best Systematic Trading Strategies in 2021: Part 1

16.August 2021

As of the first half of August, the year 2021 seems to be a phenomenal year for equities. World equities have earned more than +16%, and US equities, even more, topping +20% gains. Is there even any better strategy this year than just holding US equities? Well, yes, there are actually several of them. Are they all tied to US equities? Many of them are, but many of them are not. Some of them are not even tied to equities at all.

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Community Alpha of QuantConnect – Part 2: Social Trading Factor Strategies

13.August 2021

This blog post is the continuation of series about Quantconnect´s Alpha market strategies. This part is related to the factor strategies notoriously known from the majority of asset classes.

Overall, the factors on alpha strategies provide insightful results that could be utilized. The results particularly point to excluding the most extreme strategies based on various past distribution’s characteristics.

Stay tuned for the 3rd and 4th part of this series, where we will explore factor meta-strategies built on top of the QuantConnect’s Alpha Market.

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An Important Analysis of Stock Momentum and Reversal Factors

11.August 2021

Can we explain stock momentum by industry, sector or factor momentum? Moreover, a similar question could be raised about the short-term reversal. The novel research by Li and Turkington (2021) uses a robust regression model to divide momentum and reversal returns into the main drivers. The individual momentum anomaly that broader market groups do not fully explain exists in the whole sample but is statistically weak. On the other hand, the reversal anomaly is highly significant. Secondly, the traditional 12-months momentum can be better explained by the factor momentum than the industry or sector momentum. Still, the industries, industry groups, sectors, and even factors have distinct drivers, and the anomalies seem different.

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New Machine Learning Model for CEOs Facial Expressions

9.August 2021


Nowadays, it is a standard that fillings such as 10-Ks and 10-Qs are analyzed with machine learning models. ML models can extract sentiment, similarity metrics and many more. However, words are not everything, and we humans also communicate in other forms. For example, we show our emotions through facial expressions, but the research on this topic in finance is scarce. Novel research by Banker et al. (2021) fills the gap and examines the CEOs facial expressions during CNBC’s video interviews about corporate earnings.

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How Olympic Games Impact Stocks?

5.August 2021


Summer Olympics are a major event that attracts attention from the moment the host country is announced. However, that’s not shocking. The Olympics require a lot of planning, infrastructure building and investments. Still, countries battle for the opportunity to host these events. Undoubtedly, hosting the Olympics is prestigious, helps tourism, and many even argue that it also helps the domestic economy despite the costs of hosting. Therefore, it is natural to expect that the Tokyo Olympics should impact the domestic stock market.

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