QuantConnect

QuantConnect is an open, cloud-based algorithmic-backtesting and live-trading platform that provides historical market data and an execution engine for strategy research. It appears in this vault as the backtesting environment used by Wang Lin Mikhelson 2020 to build and test the six style-factor models its HMM rotates among. Because the paper does not report whether QuantConnect’s transaction-cost model was enabled, the platform’s use does not by itself establish that costs were charged — and the paper’s results are read as gross of costs.

Connections

• Wang Lin Mikhelson 2020 — uses_dataset, source: https://www.mdpi.com/1911-8074/13/12/311