QuantRocket Blog

Posts for equities

Market Cap vs Dollar Volume: Which to Use for Universe Selection?

Thu Oct 19 2023 by Brian Stanley

Market cap and dollar volume are two commonly used metrics for filtering a trading universe by size of security. Does it matter which one you use? In this post, I quantify the difference between market cap and dollar volume and explain the kinds of stocks that may unexpectedly appear in your universe with each metric.

What Comes After a Dead Cat Bounce?

Tue Dec 01 2020 by Brian Stanley

What happens after stocks suffer large one-day losses? This post finds that the proverbial "dead cat bounce" occurs overnight and is followed by continued losses the next day. Targeting international markets, I explore a trading strategy that aims to profit from the losses that follow a dead cat bounce.

A Primer on Survivorship Bias

Wed Nov 18 2020 by Brian Stanley

What is survivorship bias, and why should you care about it? This post explains how survivorship bias can trick you into drawing faulty conclusions from your research, and what you need to know to avoid being tricked.

Should You Buy or Sell Stocks that Gap Down?

Wed Sep 02 2020 by Brian Stanley

What happens when strong stocks gap down at the open? A well-known trading strategy is to buy the gap, expecting mean reversion. This post uses Zipline to explore down gaps and finds a profitable strategy based on selling, not buying, the gap.

Is Pairs Trading Still Viable?

Thu Aug 29 2019 by Brian Stanley

Classic pairs trading strategies have suffered deteriorating returns over time. Can a research pipeline that facilitates the identification and selection of ETF pairs make pairs trading viable again? This post investigates such a pipeline.

Hedging Long-Term Risk with an Intraday Strategy

Mon Mar 18 2019 by Brian Stanley

Do intraday strategies have a place in the portfolios of long-term investors and fund managers? This post explores an intraday strategy that works best in high volatility regimes and thus makes an attractive candidate for hedging long-term portfolio risk.

Intraday Momentum with Leveraged ETFs

Mon Mar 04 2019 by Brian Stanley

Does forced buying and selling of underlying shares by leveraged ETF sponsors cause predictable intraday price moves? This post explores an intraday momentum strategy based on the premise that it does.

The Most Volatile Stock Markets in the World

Sun Jan 13 2019 by Brian Stanley

Many quantitative trading strategies thrive in high volatility regimes, while other trading strategies work best in low volatility regimes. So which global markets are the most and least volatile? This post compares the daily, overnight, and intraday volatility of 17 countries.

The Best Global Stock Markets for Short Sellers

Tue Jan 01 2019 by Brian Stanley

If you're a short seller exploring global markets, a good first question to ask is: are there shares available to borrow? This post looks at the percentage of stocks that are shortable through Interactive Brokers in each of 17 countries.

The Overlooked Half of the Global Stock Market

Sun Dec 16 2018 by Brian Stanley

The US stock market is the largest and most liquid stock market in the world and tends to get all the attention. Many brokers and trading platforms are US-only, and many traders focus exclusively on the US market.

This post compares the number of stock listings in each of 17 countries to quantify what traders miss out on by ignoring the rest of the world.