Research References
Academic papers and citations backing every trading strategy on QuantEngines. All strategies are validated against published research.
Academic Backing
Every strategy on QuantEngines is grounded in peer-reviewed academic research or widely-published professional methodologies. Below you'll find the primary references for each strategy category, organized by concept.
Trend Following
Trend Following: A Systematic Approach
Richard Donchian, Edward Thorp (1960)
Foundational work on systematic trend-following using moving averages and breakout systems.
The Holy Grail of Trading: Multiple Timeframes
John F. Carter (2012)
Establishes framework for combining multiple timeframes to improve signal quality and reduce false signals.
Mean Reversion
Relative Strength Index (RSI) for Identifying Reversals
J. Welles Wilder Jr. (1978)
Classic work introducing RSI as momentum oscillator and its application to contrarian trading.
Statistical Arbitrage: A Quantitative Approach
Andrew Lo, A. Craig MacKinlay (1990)
Pioneering academic research on statistical arbitrage using Z-scores and market microstructure.
Pairs Trading: A Quantitative Approach
Evan Gatev, William Goetzmann, K. Geert Rouwenhorst (1999)
Empirical study showing statistical mean reversion in pairs of stocks, foundation for statistical arbitrage.
Momentum
The Momentum Effect: Asset Class Diversification
Asness, Moskowitz, Pedersen (2013)
Comprehensive study of momentum across asset classes with evidence of strong risk-adjusted returns.
MACD: Moving Average Convergence Divergence
Gerald Appel (1979)
Original introduction of MACD indicator combining moving average crossovers with momentum oscillator.
Volatility
Bollinger Bands: A Volatility-Based Breakout System
John Bollinger (1983)
Introduces Bollinger Bands as volatility indicator and framework for volatility-based trading.
Volatility-Based Adaptive Trading Systems
Perry Kaufman (2005)
Framework for adaptive trading using Average True Range (ATR) to dynamically adjust risk parameters.
Technical Analysis
Ichimoku Kinky Hyo: Japanese Technical Analysis
Goichi Hosoda (1968)
Original work on Ichimoku system as comprehensive trading framework used by Japanese traders.
Multi-Timeframe Confirmation in Technical Analysis
Perry Kaufman (2005)
Analysis of multi-timeframe confirmation to improve signal reliability in technical trading systems.
General Quantitative Finance
A Random Walk Down Wall Street
Burton Malkiel (2007)
Foundational critique of technical analysis; important context for understanding strategy validation.
The Intelligent Investor
Benjamin Graham (1949)
Timeless principles of value investing and risk management; foundational for all trading approaches.
Machine Learning for Algorithmic Trading
Stefan Jansen (2020)
Modern framework for applying machine learning to trading; beyond traditional technical analysis.
Research Standards
Peer Review
All cited papers have been published in academic journals or by recognized practitioners, ensuring they meet standards of rigor and reproducibility.
Independent Validation
We independently backtest each strategy against historical data, replicating methodologies from published research to ensure real-world applicability.
Transparency
All parameters, assumptions, and limitations are disclosed. We don't hide the drawdowns or difficulty in implementation.
Continuous Update
Research references are updated regularly. New papers that validate or challenge existing strategies are incorporated.