Formulaic Alphas
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This is our classical alpha report post. Previous alpha report featured;
Next posts involve improvement of the backtesting module for options trading - last featured here:
This week’s report suggest intraday effects are strong in predicting 1-day forward returns. First root is a mean-reversion factor normalized by intraday range. Second root is the reciprocal of intraday returns.
Doesn’t appear to be a micro-cap feature, considering its performance on GSPC constituents. Practical considerations for harvesting this effect is decay/whether the returns are realized overnight or in the next day’s trading hours - either way, a very interesting feature that could affect risk exposures, including tilts - such as the aggressiveness for delta hedging and so on. Just a point of thought, that relates to our ongoing theme on volatility trading.
Report (paid):