Kurtis The Quant (@Quant_Kurtis) header
Kurtis The Quant (@Quant_Kurtis) profile picture

Factor-based Model Portfolio Consultant

Canada
Joined March 2017
Photo by Kurtis The Quant (@Quant_Kurtis)Photo by Kurtis The Quant (@Quant_Kurtis)Photo by Kurtis The Quant (@Quant_Kurtis)Photo by Kurtis The Quant (@Quant_Kurtis)Photo by Kurtis The Quant (@Quant_Kurtis)Photo by Kurtis The Quant (@Quant_Kurtis)Photo by Kurtis The Quant (@Quant_Kurtis)Photo by Kurtis The Quant (@Quant_Kurtis)Photo by Kurtis The Quant (@Quant_Kurtis)Photo by Kurtis The Quant (@Quant_Kurtis)
Me opening X and stumbling into the Hedgeye feud with absolutely zero context.
The only thing accurate about your “stitching together” is that I have no drawdowns when everyone else does
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Kurtis The Quant retweeted
Replying to @KeithMcCullough
Maybe, but I'd be less inclined to put it here. "Among tactical allocation and multi-asset dynamic funds (around 400+ funds in Morningstar/Lipper categories), HECA ranks near the very bottom (410 out of ~415 peers)."
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Every protection can go wrong sometimes. ▶️Diversification. Crash = Correlation ▶️Volatility targeting. Reacts after spike ▶️Trend following. Whipsaws. Slow at sharp turns ▶️Buying puts. Premiums > Payoff ▶️Shorting. Both sides lose ▶️Stop losses. Sell low, buy back higher Thoughts?
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Kurtis The Quant retweeted
New Research Ideas! "What held real value when inflation was high" 👇 ⠀ Since 1919, a US 60/40 portfolio lost money after inflation in both high-inflation regimes, -0.2% a year in stagflation and -1.3% in overheating, against 9.0% in all other months. Trend following earned 13.5% and 7.4%. ⠀ Campbell Harvey, with Panashe Bera and Kristina Hooper of Man Group, label every month from 1919 to 2026 with signals built to be known at the time. High inflation is CPI above the 75th percentile of its last 10 years. Weak growth is industrial production below its 10-year trend. ⠀ Gold, since 1975, earned 9.4% and 14.2% in the two regimes. An equal-weight mix of seven US equity factors earned 7.1% in stagflation. ⠀ My reading is that this argues for structure, not timing. The averages hide large differences between episodes, there are no tests, and the authors say it does not establish a switching strategy. The trend series is Man Group's own. ⠀ papers.ssrn.com/sol3/papers.… ⠀ Join +3000 subscribers --> noaxcapital.com/newsletter
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Kurtis The Quant retweeted
I've been working with Carlos for over two years now — coaching, consulting, and collaborating on hedge fund projects. If you want to learn how to build quantitative systems with @P123Finance and get a great base, Carlos is the man. maxquantstrike.substack.com/…
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Kurtis The Quant retweeted
High Yield Trend Switch ETF High-yield bond investors are paid to worry about defaults, and they often sell before stock investors do. So the credit market tends to show stress first. This system uses that as its on/off switch. 1. Is credit healthy? If high-yield bonds ($HYG) are above their 200-day average, the system holds stocks. If not, it steps aside. 2. Which stocks? The two strongest of $SPY, $QQQ, $DVY and $VIG, ranked by their 135-day return, leaving out the most recent month. 3. Where does the money wait? In intermediate-term Treasuries ($IEF) while they are above their own 200-day average. Otherwise in short-term Treasuries ($SHV). Bonds don’t always protect; in 2022 they fell with stocks. Checked weekly. Link in comments.
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Kurtis The Quant retweeted
in the last months I built my first AI Factor Strategy. 18% leverage, variable slippage, weekly rebalance, long only. Let's see how it performs OOS... "everyone has a plan until he gets hit in the face" $XRX fell sharply yesterday. not a good start for the strategy.
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Kurtis The Quant retweeted
Asking my AI teacher how to spell seventeen
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Kurtis The Quant retweeted
Portfolio123's global data coverage is now live. This is a quick breakdown of how our core style ranking systems have worked on Frontier markets over the past 10 years. Combination of all styles is strongest. Momentum and Value are also strong. 13-week rebal / 1% slippage / $25K min turnover
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Kurtis The Quant retweeted
A simple $GLD and $QQQ system with trend-filters below and above the price action. Over the past 25 years gold and the Nasdaq 100 have very low correlation to each other. Yet, held 50/50, they still dropped 53%, because correlations can change short-term. This public system (link in comments) adds three checks: 1. Is risk asset trending? If yes, hold. If not, look at defensive asset. 2. Is risk asset stretched? If it has run too far above the moving average, switch to defensive asset. 3. What are the defensive assets? Use intermediate-term Treasuries if they are trending. If not, use short-term bonds. Weekly rebalancing. Roughly nine switches a year.
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Parabolic runups often pullback. Trend-filters on both sides may help
A simple $GLD and $QQQ system with trend-filters below and above the price action. Over the past 25 years gold and the Nasdaq 100 have very low correlation to each other. Yet, held 50/50, they still dropped 53%, because correlations can change short-term. This public system (link in comments) adds three checks: 1. Is risk asset trending? If yes, hold. If not, look at defensive asset. 2. Is risk asset stretched? If it has run too far above the moving average, switch to defensive asset. 3. What are the defensive assets? Use intermediate-term Treasuries if they are trending. If not, use short-term bonds. Weekly rebalancing. Roughly nine switches a year.
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Kurtis The Quant retweeted
Should you cap-weight or equal-weight your factor portfolio? I ran the same test in 2 markets and got 2 different answers. Here is the setup: 🔹 Top 50 stocks from 2005 to 2026 according to factor style 🔹 Ran cap-weighted and equal-weighted 🔹 Run in Russell 3000 (USA) and Stoxx 600 (Europe) The chart shows the difference in Sharpe ratio between the two. 🔹 In the US, cap-weighting won for every style. 🔹 In Europe it was equal weighting. One major disclaimer is that the Sharpe gaps between equal-weight and cap-weighting were small. Mostly noise. The weighting choice is really a bet on big companies leading or not. Which do you use?
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1/n Never give up on an AI Factor Model ;-) Again, the replication rate (OOS live trading mirroring the behavior of the holdout) of our design choices is almost unbelievable. Here are some results from our "base systems." Those base systems take 4–7 existing ranking systems and use their factors as features. OOS Live Trading from 05/21/25 (rest is holdout, predictor trained from 2003 - 2020).
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Kurtis The Quant retweeted
Lovely Companies in the last few weeks...
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1/n AI Factor Models from "The Factor Edge" maxquantstrike.substack.com/ went up yesterday ;-) YTD 69% & 58% ATHs! But...
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Kurtis The Quant retweeted
Momentum is one of the most studied factors in investing. It is also one of the most misused. Join me live on Oct 21 at 12:30 PM ET for a @P123Finance webinar: “MOMENTUM: What Actually Works?” Register: calendar.app.google/oPvtW9eh… #FactorInvesting #Momentum
🤖 Made with AI
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Kurtis The Quant retweeted
Portfolio123’s global data is in beta, with full release coming soon. The table below is public Value and Momentum ranking systems combined, run in 12 Asia-Pacific and emerging markets. 15 stocks, 4-week rebalance, $250K liquidity floor, 0.35% slippage.
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Kurtis The Quant retweeted
Replying to @Quant_Kurtis
Nah, it’s not his fault at all. Bro was just trying to do a solid for his father in law by wiping an old iPad that belonged to a deceased 90 year old man, clearing the personal data, and possibly putting the device to good use. That is normal family and estate cleanup, not some criminal mastermind plot. Activation Lock exists specifically to prevent theft, so the moment he asked ChatGPT how to remove the lock when the owner was dead and there was no receipt or will, the automated filters went full paranoid mode and slapped him with a “Cyber Abuse” label. OpenAI’s classifiers can be notoriously trigger happy when it comes to anything involving device unlocking, reverse engineering, or cybersecurity related discussions. There are reports of people doing completely legitimate things, such as coding their own projects, preparing cybersecurity job applications, or working on hardware they own, receiving similar warnings or worse, sometimes followed by appeals being rejected within an hour through what appear to be template responses. The system saw keywords and context that suggested possible unauthorized access, ignored the backstory about the deceased owner and the informal agreement, and defaulted to caution. He even explained the situation in the chat, but nuance clearly is not the classifier’s strongest suit right now. Practically speaking, he has already appealed and lost, so pursuing further human review through the usual channels may be a dead end. The real solution for the iPad is still Apple Support, which can explain whether the device can be unlocked with appropriate documentation. Proof of death and evidence of the relationship may help, although an informal agreement alone does not guarantee an exception. As for his OpenAI account, the safest move is to respect the warning and avoid further prompts that could be interpreted as attempts to bypass device security. People who believe they have encountered a false positive can also use the available official support or appeal channels to seek clarification. The underlying problem he pointed out is real. AI safety systems can struggle to distinguish between someone helping a family member deal with a deceased person’s old tablet and someone attempting to gain unauthorized access to a device. Legitimate requests deserve careful contextual assessment, not just keyword matching. Safety matters, but so does getting the context right. If the system gets that balance wrong, legitimate users end up paying the price.
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Kurtis The Quant retweeted
Replying to @Quant_Kurtis
Hi Kurtis, first of all I'd like to apologize (on behalf of @OpenAI). No human or quant should be treated this way. Second, there is a loophole and missing guardrail layers here. I've also reported the same for a friend, @gregmushen. @sama would you be so kind to help fix? Tysm
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Kurtis The Quant retweeted
Energy ETFs such as $XLE too volatile? Try this strategy... 3 rules with a cash-like ETF fallback if it fails ▶️Hold $USO during backwardation ▶️Hold $XLE when above 1 year SMA ▶️Hold $IEF when 1 year return is positive 4-week rebalance Link to public screen below
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