Top 10s of 2016: The Most Cloned Backtests and Notebooks

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Top 10s of 2016: The Most Cloned Backtests and Notebooks

posted Jan 17, 2017

Momentum Mean Reversion Q Updates Statistics

We thought the community would like to see some of the most-cloned notebooks and backtests from 2016. First, the backtests:

1.Reply to: A Simple Momentum Rotation System for Stocks by Karen Rubin
2.Reply to: Long Short Pipeline Multi-Factor by James Christopher
3.Post-Earnings Drift Trading Strategy with Estimize (PEAD) by Seong Lee
4.Reply to: Robin Hood Extreme Vetting by Charles Witt
5.Pipeline Trading Universe - Best Practice by Nathan Wolfe
6.Reply to: The Gold King And His Knights by Charles Witt

These popular algorithms were all part of the Quantpedia Trading Strategy Series:

7.Quantpedia Trading Strategy Series: Are Earnings Predictable? by Seong Lee
8.Quantpedia Trading Strategy Series: Reversals during Earnings Announcements by Nathan Wolfe
9.Quantpedia Trading Strategy Series: Reversals in the PEAD by Matthew Lee
10.3 Earnings Example Strategies based on the Quantpedia Trading Strategy Series by Seong Lee

... and the 10 most cloned notebooks:

1.Machine Learning on Quantopian by Thomas Wiecki
2.New Feature: Comprehensive Backtest Analysis (pyfolio) by Thomas Wiecki
3.Reply to: QuantCon 2016: Using the Kalman Filter in Algorithmic Trading by Aidan O'Mahony
4.Alphalens - a new tool for analyzing alpha factors by James Christopher
5.QuantCon 2016: Dual Momentum Strategy by Lotanna Ezenwa

The following belong to the Quantopian Lecture Series

6.Quantopian Lecture Series: Linear Regression by Evgenia "Jenny" Nitishinskaya and Delaney Granizo-Mackenzie
7.Updated Pairs Trading Lecture: Now With Less Wind Resistance by Delaney Granizo-Mackenzie and Maxwell Margenot
8.Quantopian Lecture Series: Fundamental Factor Models by Evgenia "Jenny" Nitishinskaya, Delaney Granizo-Mackenzie, and Maxwell Margenot
9.Quantopian Lecture Series: Long/Short Traditional Value Case Study by Gil Wassermann
10.Quantopian Lecture Series: VaR and CVaR (Expected Shortfall) by Jonathan Larkin and Delaney Granizo-Mackenzie

If you enjoy this list, you might enjoy a similar post we made in June 2016.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

About Quantopian

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.