Concretum Group

Another great episode of The Algorithmic Advantage, where Simon M and Richard Brennan discuss with my co-author Gary Antonacci the findings from our latest paper, A Century of Profitable Industry Trends. Be aware that you can also find the MATLAB and Python code on our website (www.concretumgroup.com) to reproduce step by step the strategy results. Here the links: Read the paper from SSRN https://bit.ly/CentTrends Backtesting Code (Matlab) https://bit.ly/IndTrendsBT Backtesting Code (Python) https://bit.ly/Trend100Py

Backtest a Trend-Following Strategy using 100 years of FREE data In our latest article, we guide you through the steps to backtest a long-only, industry-based momentum strategy on US markets. This strategy has signficantly outperformed a passive Buy & Hold approach over the past 100 years. By utilizing high-quality, FREE data from Professor Kenneth French's website (Dartmouth College), we reproduce the results from our recent paper, A Century of Profitable Industry Trends. Step 1. Open the Article ✔ Visit the Concretum|Group website and open this article: https://bit.ly/IndTrendsBT ✔ Download the MATLAB file and launch it on your machine. Step 2. Download the database ✔ Take advantage of the FREE database available from Professor Kenneth French's library (https://bit.ly/KeFrench) ✔ Download 100 years of daily returns for 48-industry portfolios. Step 3. Run the Backtest ✔ Choose your ideal parameters for Donchian Channels and Keltner Bands. ✔ Set the risk management rules that fit your risk tolerance. ✔ Run the backtest and compare the results with the strategy presented in the paper. To discover all the details behind the strategy, we strongly encourage you to read the full paper here: https://bit.ly/CentTrends

Designing a Profitable Intraday Strategy Using Python and Alpaca We've just released a new article that provides the Python code used to backtest a profitable intraday model on SPY. From 2018, the model yielded a return of over 30% per year with a Sharpe Ratio of 1.95. The strategy not only leverages the trading edge outlined in our paper Beat the Market, but also capitalizes on overnight gaps that typically revert within the first 30 minutes of the trading session. For this backtest, we used Alpaca as data provider as it offers 7 years of free intraday data for many US stocks and ETFs, a significant improvement over Polygon, which offers only 2 years of free data. A step-by-step guide is presented in our new article --> bit.ly/bt_alpaca

Teaming up with well-known researcher and industry expert Gary Antonacci, we are proud to announce the publication of our new research piece ✳ A Century of Profitable Industry Trends ✳ This study delves into the profitability of a simple, low-frequency trend-following model applied to US industries using a comprehensive database of all US stocks traded between 1926 and 2024. Over the past century, the Timing Industry portfolio achieved an average annual return of 18.5% with an annual volatility of 12.1%, resulting in a Sharpe Ratio of 1.46. This is in stark contrast to the US equity market's 9.7% return, 17.1% volatility, and 0.63 Sharpe Ratio. In the final section of the paper, we introduce 31 sector ETFs by State Street Global Advisors and backtest the same trading methodology over the past 20 years. The ETFs successfully replicate the model's exposure and returns. We also assess the impact of commissions and slippage, demonstrating that the active timing strategy remains largely profitable even with high trading costs. Read the full paper for free from this link: https://bit.ly/CentTrends

Teaming up with well-known researcher and industry expert Gary Antonacci, we are proud to announce the publication of our new research piece ✳ A Century of Profitable Industry Trends ✳ This study delves into the profitability of a simple, low-frequency trend-following model applied to US industries using a comprehensive database of all US stocks traded between 1926 and 2024. Over the past century, the Timing Industry portfolio achieved an average annual return of 18.5% with an annual volatility of 12.1%, resulting in a Sharpe Ratio of 1.46. This is in stark contrast to the US equity market's 9.7% return, 17.1% volatility, and 0.63 Sharpe Ratio. In the final section of the paper, we introduce 31 sector ETFs by State Street Global Advisors and backtest the same trading methodology over the past 20 years. The ETFs successfully replicate the model's exposure and returns. We also assess the impact of commissions and slippage, demonstrating that the active timing strategy remains largely profitable even with high trading costs. Read the full paper for free from this link: https://bit.ly/CentTrends

I'm thrilled to share a groundbreaking paper that my friend Concretum Research, Prof. Andrea Barbon from the University of St.Gallen, and I have just published: 'Beat the Market: An Effective Intraday Momentum Strategy for SPY ETF.' This paper offers deep insights into momentum trading strategies for the SPY ETF, covering the period from 2007 to 2024. Whether you're a seasoned trader or just getting started, the findings in this study could be invaluable to your trading approach. 🔗 Check it out and discover how you can apply these strategies to potentially enhance your trading performance: https://lnkd.in/gAGuhkhv

Timing industry exposure using trend-following techniques can significantly improve the risk-reward ratio of a long-term portfolio. In a working paper, we extend Tom Basso timing methodology to a daily database of 48 industries from 1926 to 2024. As shown in the attached chart, this timing strategy allowed investors to fully capitalize on strong market periods while significantly limiting losses during negative market years. This is supported by statistical evidence showing an Upside Beta of 1.05 and a Downside Beta of 0.28. We plan to release the full details of the study at the end of next week. Stay tuned and share your thoughts and experiences below!

Want to learn how to backtest a profitable intraday momentum strategy using Python in less than 2 minutes? We have just published the backtesting code from our latest paper: Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF ($SPY). Visit www.concretumgroup.com and open this article --> www.bit.ly/BTestPyt

"An object in motion tends to stay in motion, an object at rest tends to stay at rest." Drawing on the principles first articulated by Isaac Newton in 1687, we are excited to announce the release of our new paper, Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY). Together with my co-authors, Andrew Aziz and Andrea Barbon, we have developed a simple yet effective intraday momentum strategy that capitalizes on demand-supply imbalances in SPY, the most traded and liquid ETF. Since 2007, the strategy outlined in our paper has yielded a total return of 1,985% (net of costs), an annualized Alpha of nearly 20%, and a Sharpe Ratio of 1.33. Our extensive statistical analyses explore the strategy's resilience across different market volatility regimes and investigate whether the estimated gamma imbalance of dealers can forecast shifts in strategy profitability. We also delve into the daily profitability of the intraday momentum strategy, examining day-of-the-week effects and comparing its performance against well-known technical daily patterns to gauge its effectiveness under various market conditions. Additionally, we consider the influence of commissions and slippage on the strategy’s overall profitability due to its short-term nature. You can read the full paper for free here --> https://lnkd.in/e4jy2m2X Please share it and leave your feedback!