Papers, wiki, Option Blackboard, encyclopedia, and cards.
Financial markets are noisy and non-stationary, making alpha mining highly sensitive to backtest noise and regime shifts. While recent agentic frameworks improve automation, they often lack controllable multi-round search and reliable reuse of validated experience. To address these challenges, we propose QuantaAlpha, an evolutionary alpha mining framework that treats each end-to-end mining run as a trajectory and imp…
Whether the program treats shorts with the same rules and risk as longs — the difference between a two-way CTA and a long-biased TAA in a futures wrapper.
Hold each broad asset class only when it is in an uptrend (typically above a long moving average); otherwise sit in cash or bills.
Keller–Keuning DAA: a canary universe that de-risks the risky sleeve when breadth/momentum in the canaries fails.
Combine relative momentum (which asset) with absolute momentum (whether to be in cash) — Antonacci’s two-filter TAA.
Rank asset classes on recent return and hold only the top of the list — a rotational system, not a per-asset on/off switch.
Whether the program treats shorts with the same rules and risk as longs — the difference between a two-way CTA and a long-biased TAA in a futures wrapper.
Combine relative momentum (which asset) with absolute momentum (whether to be in cash) — Antonacci’s two-filter TAA.