Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
132 documents
The document examines whether return distributions can help explain or forecast asset performance. It distinguishes comparisons across assets from time series tests asking whether an asset’s current skew or kurtosis predicts its later returns. The reported…
The document lays out a framework for translating a trader's account and risk preferences into position sizes. It separates account size, instrument volatility, the overall risk target, forecast confidence, portfolio breadth, and the conversion from exposure…
The document argues that holding a broader set of assets generally improves a portfolio compared with concentrating in a few, unless an investor can meet demanding conditions such as selecting winners reliably. It addresses common objections involving…
This post compares how well trading-strategy Sharpe ratios and return correlations can be forecast from real data versus simulated returns drawn from a fixed distribution. The described experiment samples strategy components, measures one-year-ahead…
This post examines dynamic portfolio optimisation for a relatively small trading account. It describes a historical backtest setup that estimates instrument correlations and covariance, derives expected returns from existing portfolio weights and risk…
This outline follows a futures trading system from forecast weights through forecast and instrument diversification multipliers to a final position. It flags choices involved in estimating weights, including pooling across instruments, shrinkage,…
This document investigates whether fast trading rules can contribute to a futures portfolio without causing proportionally large trading costs. It traces how rule forecasts become positions through volatility and currency scaling, contract rolling,…
This document examines how the stock allocation that maximizes expected compound annual growth changes with stock–bond correlation and relative expected returns. It assumes a fully invested two-asset portfolio of global equities and bonds, normally…
This document develops a portfolio weighting adjustment for uncertainty in estimated Sharpe ratios. It translates a difference in Sharpe ratios into a difference in expected returns, estimates uncertainty in that difference using the assets’ volatility,…
This document replaces handpicked correlation “candidate matrices” in a three-asset portfolio method with weights averaged across plausible correlation estimates. It uses Fisher’s transformation to form a sampling distribution for each pairwise correlation…
This opening installment considers how a trader with limited capital might allocate across futures when contracts cannot be traded fractionally. The author frames the challenge as a portfolio optimization problem: a small account cannot spread capital over…
The document explores whether interest-rate conditions can help tailor CTA allocations across fixed-income futures and trading rules. It proposes meta-prediction: group historical strategy returns by a regime variable, then compare performance across those…