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.
67 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 outlines three futures trading rules built from skew and kurtosis: a standalone skew signal, skew conditioned on kurtosis, and kurtosis conditioned on skew. Signals are normalized by a robust volatility estimate and smoothed; conditioned…
This document compares ways to include trading costs when optimizing portfolio or forecast weights. Options include optimizing gross returns, subtracting costs to form net returns, optimizing costs alone, penalizing costs by a multiplier, applying a maximum…
This technical guide outlines a workflow for requesting historical prices through Interactive Brokers' API from Python using swigibpy. It describes preparing a callback object to receive data and errors, submitting a historical-data request, and waiting 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 article examines how a retail-sized account can trade a broad futures universe when positions must be whole contracts. A diversified portfolio performs well in a fractional-position backtest, but integer rounding prevents the smaller account from…
The document describes how to add a risk overlay to a systematic futures strategy and where to place it in a process that uses dynamic position optimization. The overlay scales unrounded target positions by a multiplier, while separate controls address…
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 examines whether forecast weights should be fitted separately for each instrument, pooled across all markets, or pooled within similar groups, and whether blending these estimates can balance robustness with market-specific performance. It…
The document explains why “CTA” can refer to several overlapping ideas: a US regulatory category, an adviser operating managed accounts, a manager of futures strategies, or a modern investment fund. It contrasts traditional managed accounts, where clients…
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 introduces factor analysis as a way to understand the sources of risk and return, then contrasts predefined equity factors with the less obvious drivers of returns across futures markets. It reviews possible uses of factors, including taking…
The document discusses several systematic trading ideas. It frames short volatility as harvesting the gap between option-implied and expected realized volatility, using short volatility futures with a constant negative forecast and volatility-based position…
The document describes a systematic way to select a fixed subset of futures markets for an account with limited capital. It first filters for liquidity, then estimates each instrument’s expected trading costs and the penalty from contract sizes that prevent…
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 document explains how diversification across futures markets can increase the risk-adjusted performance of systematic strategies. It defines effective independent bets by comparing a portfolio’s risk reduction with what would result from the same number…
The author checks whether a heuristic hierarchy for allocating forecast weights across trading rules is supported by correlations in rule returns. To build the correlation matrix, each rule is treated as a portfolio across the instruments actually weighted…
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 explains positive skew as a return pattern with frequent small losses and less frequent large gains, then examines whether trend-following strategies display that pattern. It relates trend following to a lookback straddle: both can benefit from…
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 assesses Bitcoin’s usefulness as payment, store of value, and investment, then considers whether it belongs in a portfolio or trading strategy. It highlights practical concerns including transaction expense, energy use, slow and variable…
The document outlines a Python-based workflow for calculating UK trading tax liability from trade and position source files, with configurable output, foreign exchange data, calculation method, and reporting detail. It describes several verbosity levels,…
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…
The document describes a systematic overlay for reducing a trading system’s positions when estimated portfolio risk rises above chosen limits. It starts by comparing realised portfolio volatility with expected risk and argues that expected risk can vary…