The Edge in Trading IPOs Strategy Analysis

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In this video, Carlos Souza gives an in-depth walkthrough of the analysis of an IPO-based strategy inspired by a Marsten Parker interview on the Chat with Traders podcast.
Marsten Parker is best known for being featured in Jack Schwager's book, "Unknown Market Wizards," where he is highlighted as the only purely systematic trader in the series. I found it pretty interesting and decided to test & share it. Imho, the results are surprisingly good.
The strategy consists of frequently buying and selling IPOs, holding the positions for just a few days. Backtesting the strategy (using a survivorship-bias-free dataset), we achieved 17.8% annual return, a 1.42 Sharpe, and a 17.3% max. drawdown.
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