Walk-forward studiesQuanterLab Research

Oct 18, 2026 Hidden Markov Model Against the VIX on a Regime-Aware Factor Portfolio Comparison Steered by the VIX against Steered by the model

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Oct 17, 2026 Hedgefundie’s Excellent Adventure, Tested Apart: What It Did Until the Forum Post, and What Changed Since As posted against Bills instead of the bonds

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Oct 15, 2026 Clenow’s Stocks on the Move, Tested Apart Ten Years After the Book A: the book's rules against B: without the market rule

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Oct 12, 2026 The Calm Before More Calm: the TTM Squeeze, the Bollinger Squeeze and volatility clustering in twenty years of S&P 500 stocks The squeeze breakout against The plain breakout

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Oct 10, 2026 High-Resolution Thematic Investing: Decomposing SEC Filings Into Words. Test Case: AI, the Pandemic, Remote Work and Tariffs. Talkers vs. Warners Talk about AI against Equal-weight S&P 500

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Oct 07, 2026 The Frog in the Pan Says Keep the Steady Climbers. In the S&P 500, It Works the Other Way Around The big jumpers against All of last year's winners

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Oct 05, 2026 Two Kinds of Crash, Two Kinds of Protection: the 200-Day Line and Volatility Targeting, 2000 to 2025 Volatility targeting against The 200-day line

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Oct 03, 2026 In Search of the Market's Payday The turn of the month against The rest of the month

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Oct 02, 2026 Greedy When Others Are Fearful: Buffett's Rule Tested on CNN's Fear & Greed Index Since 2009 Buffett's rule against The crowd's rule

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Sep 28, 2026 A Stochastic Model Against a Geometric Rule: the Kalman Filter and the 200-Day Line Kalman filter against 200-day line

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Sep 26, 2026 Navigating Mean Reversion: Breaking Down the Base Mechanism Stressed-market dips against Every dip

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Sep 23, 2026 Which tech companies spend more on building than their business brings in? Every S&P 500 tech company, checked each April since 2000 Expanding against Not expanding

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Sep 22, 2026 Does Altman’s Z-score formula still tell you anything about today’s S&P 500? Altman’s three zones tested apart The safe zone against Every scored member

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Sep 19, 2026 The radar and the sliders: a VIX-steered factor tilt kept nine tenths of a point a year over its fixed twin, and paid for it in 2007, 2020 and 2022 Radar-tilted blend against Fixed 34/33/33 blend

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Sep 18, 2026 The overnight gain is real, no trade keeps it, and the rule that chases it buys wrecks The rule, overnight, half a cent a share against Every member bought and held

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Sep 16, 2026 Rebuilding the Fama-French factor construction inside the point-in-time S&P 500: value, dividend yield, profitability and net issuance, 2006 to 2025 Book-to-market against Earnings yield

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Sep 12, 2026 Does the Piotroski F-score have anything to find among large caps? The score and each of its signals tested alone on the S&P 500 High score, 8 or 9 against Every scored member

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Sep 11, 2026 Dividend capture loses, the week before the ex-date pays, and holding the same stocks beats both Selected by past drop ratio against Every name of the cut

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Sep 08, 2026 What a European country fund is made of, and whether the country part is worth rotating A registered, point-in-time walk-forward study of European rotation books (fixed lists) in 1-year steps. Stitched out-of-sample Sharpe 0.50 over 4512 observations. Deflated for the declared family search of N=30: 51%.

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Sep 06, 2026 Post-Earnings Drift, Decomposed: 81 Walks, a Predictability Spread That Was Market Exposure, and a Screen That Picks Better Announcements and a Worse Book A registered, point-in-time walk-forward study of S&P 500 in 1-year steps. Stitched out-of-sample Sharpe 0.57 over 5012 observations. Deflated for the declared family search of N=81: 54%.

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Sep 05, 2026 Antonacci's Dual Momentum Taken Apart: Gate, Relative Leg, and Blends Across Four Lookbacks Dual momentum (gate + relative leg) against Absolute momentum only (no international leg)

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Sep 04, 2026 Post-Earnings Drift by Sector, Walked 220 Times Under Two Anchors: Dead at the Formation Date, Alive at the Announcement A registered, point-in-time walk-forward study of S&P 500 in 1-year steps. Stitched out-of-sample Sharpe 0.92 over 5012 observations. Deflated for the declared family search of N=220: 90%.

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Sep 02, 2026 Dalio's Holy Grail, Measured and Then Walked at Five Breadths: Three, Five, Seven, Ten and Fifteen Funds Trio (SPY, TLT, GLD), equal risk contribution against The full fifteen-fund shelf, equal risk contribution

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Sep 01, 2026 Dalio’s All Weather, Constructed and Then Tested Against Inverse Volatility, Equal Risk Contribution, Its Levered Version and a Plain 60/40 All Seasons static recipe against Equal risk contribution, unlevered

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Aug 30, 2026 NASDAQ-100 Additions versus Deletions: Eighteen Decembers, an Effect That Died Around 2016, and the Ticker That Lied Additions against Deletions

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Aug 27, 2026 One Half of the Magic Formula Beat the Whole Thing: Greenblatt's Two Ranks, Tested Apart Magic Formula against Quality alone

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Aug 24, 2026 The Crash Switch Worked and the Strategy Starved Anyway: Keller's Menu Tested Canary as published (B=1) against Two-bird floor (B=2)

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Aug 22, 2026 Steering Wheel, Not Brake - nineteen years of regime investing Hold all nine against The regime turn

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Aug 21, 2026 The Regime Atlas - ten ways to read the market, twenty years, one scoreboard A registered atlas from QuanterLab: the platform's ten regime classifiers, twenty years of causal labels on one scoreboard.

Aug 20, 2026 The Sector Playbook, Audited - rotation, two gates and two hedges on one scoreboard A research note from QuanterLab: commentary across cited studies, with figures drawn live from their frozen records.

Aug 19, 2026 Arguments About Personality - a research note on the Fama-French series A research note from QuanterLab: commentary across cited studies, with figures drawn live from their frozen records.

Aug 19, 2026 Paid in fewer shares - net issuance against earnings yield in total returns, twenty one-year windows of the S&P 500 Low net issuance against Earnings yield

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Aug 19, 2026 The compounders and the cigar butts - gross profitability against earnings yield in total returns, twenty one-year windows of the S&P 500 Gross profitability against Earnings yield

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Aug 19, 2026 Paid to wait, paid less - dividend yield against earnings yield in total returns, twenty one-year windows of the S&P 500 Dividend yield against Earnings yield

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Aug 19, 2026 The choice that washes out - book-to-market against the earnings yield it displaced, twenty one-year windows of the S&P 500 Book-to-market against Earnings yield

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Aug 12, 2026 The number on every brokerage screen mostly tells you where the market is 52-week high against 12-1 momentum

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Aug 09, 2026 Two ways to say calm - low beta and low volatility are not the same trade, and the difference is measurable Low beta against Low volatility

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Aug 09, 2026 Lower risk without lower return, tested the way a private investor would have to run it Low volatility: the twenty calmest names against High volatility: the twenty wildest names

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Aug 08, 2026 What the broker takes: Betting Against Beta, approximately, the institution’s machine against the retail hand across twenty one-year windows of the S&P 500 The institution: Frazzini-Pedersen halves at institutional financing against The retail hand: 20/20 extreme tails at retail financing

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Aug 07, 2026 Your beta is holding something different than it was: twenty lowest-beta names against twenty highest, across twenty one-year windows of the S&P 500 Low beta (Top-20 lowest β) against High beta (Top-20 highest β)

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Aug 05, 2026 Almost nothing in common, the same return: gross profitability vs. ROE across twenty one-year windows of the S&P 500 Arm A against Arm B

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Aug 02, 2026 A VIX Circuit Breaker on Momentum: One Crisis Averted, Every Recovery Missed (S&P 500, 2006–2026) Arm A against Arm B

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Jul 31, 2026 Index-membership look-ahead vs. PIT Constituents Factor Portfolio Study Point-in-time against Current members

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Jul 28, 2026 Does naive Black-Litterman beat the Historical Mean? Arm A against Arm B

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