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.
69 documents
This analysis asks whether futures with more negative return skew earn higher returns, both across assets and when skew changes over time. It estimates skew from percentage returns after filtering extreme volatility-normalized observations, then uses…
This document explains how capital assumptions change trading account curves and position sizing. Fixed capital keeps the account base constant, so profits and losses are calculated from the same amount. Full compounding updates the capital base after each…
This portfolio-optimization study compares four ways to estimate forecast weights: fitting each instrument separately, pooling all instruments, pooling within asset classes, and grouping instruments by similarity in portfolio weights. The author describes…
This post revisits a dynamic portfolio optimizer that traded too frequently when first implemented. The author identifies shortcomings in the turnover and cost estimates, especially for sparse portfolios where many instruments have zero positions. Because…
This guide walks through a hand-built method for allocating a long-only portfolio across assets or trading strategies. It groups assets hierarchically, assigns volatility-based weights within groups, and can optionally adjust for estimated Sharpe ratios and…
This document explains how synthetic data can help investigate trading systems when historical observations are too limited to support strong conclusions. It distinguishes simulated price paths for testing individual rules, correlated asset-return series for…
This annual review evaluates a systematic futures portfolio over the UK tax year ending in April 2025. It separates pure futures results from cash-like ETFs and foreign-exchange effects, compares the portfolio with the SG CTA index and an AHL fund, and also…
This outline describes a study of trading an equity curve: reducing a system’s exposure after weak performance and restoring exposure when a simulated account recovers. It frames the approach as an overlay with separate rules for detecting poor performance,…
The post compares a stateless trend-following approach with trade management that changes as a position develops. It describes a test system using a moving average signal, volatility-scaled positions, and stop losses. Dynamic volatility control resizes…
The document compares four moving-average crossover approaches on a diversified futures portfolio: fixed-size systems with stop or signal exits, a binary system that adjusts exposure for volatility, and a continuous forecast system that also targets…
The document considers whether volatility targeting improves a trend-following strategy. Its motivating example is a long position that gains as price rises but is reduced because the position’s risk has increased. The author notes that trend following often…
The document explores how a regression’s R squared can be related to the Sharpe ratio of a trading forecast. It presents three routes: a closed-form relationship based on the law of active management, simulations using random price series, and analysis of…
The document describes how to separate and benchmark several parts of a personal investment and trading portfolio. It distinguishes UK single stocks, long-only investments, an equity-neutral sleeve created by hedging ETF exposure with futures, systematic…
The document outlines a discretionary, spreadsheet-friendly approach to constructing long-only portfolios or allocating among trading strategies. It emphasizes choosing inputs that are easier to estimate and interpret, especially Sharpe ratios and…
The document examines how small account size limits diversification when futures positions must be held in whole contracts. This creates abrupt position changes as forecasts, volatility, or account value shift, which can misalign risk targets and raise…
The author investigates whether momentum performance and the preferred trading speed vary with instrument trading costs. Two competing ideas are considered: gross performance may be similar across instruments, leaving expensive markets less attractive after…
The document describes an experiment comparing clustered and unclustered portfolio optimization across trading rules and instruments. It varies in-sample and out-of-sample periods, the number of assets, correlation shrinkage, Sharpe ratio shrinkage, and the…
The document explains top-down replication of a managed futures index: estimate positions in a basket of futures by regressing index returns on instrument returns. Although a long history may seem to support a regression with many instruments, positions…
The document explores three changes to fitting trading-system weights: exponential weighting that emphasizes recent performance, evaluating alpha rather than Sharpe ratio alone, and jointly fitting instrument and forecast weights. The motivation is that old…
The document proposes selectively pooling return histories across instruments when their estimated Sharpe ratio profiles across trading rules appear sufficiently similar. It describes a clustering procedure: estimate each instrument’s Sharpe ratios, measure…
The document distinguishes explicit, implicit, and tacit overfitting in trading research. Explicit overfitting comes from fitting too many parameters to historical data; suggested controls include reducing degrees of freedom, using robust fitting, and…
The author questions whether Bitcoin’s positive skew alone justifies very large portfolio allocations, using a published allocation claim as a starting point. The post compares the intuition behind holding Bitcoin with the appeal of lottery-like payoffs,…
The document explains how to choose a trading frequency by comparing expected pre-cost performance with holding and execution costs. It distinguishes market-order traders, who may pay about half the spread, from traders using limit orders or execution…
The document explains the motivation for presenting futures trading strategies across many markets. Its author draws on an earlier internal reference about fixed-income instruments, volatility patterns, yield curves, and strategy behavior, then considers a…