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.
19 documents
This document sets out criteria for assembling a curated ETF list across equity and bond regions and categories. The stated filters include sufficient fund size, a preference for distributing share classes when dividend yield is used as a valuation measure,…
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…
This note asks whether markets that perform well for trend-following do so because their prices have drifted favorably, because of carry, or because they convert those effects into trend signals more effectively. It compares bonds, foreign exchange, metals,…
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 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 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 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 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 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…
This analysis asks whether weakening trend-following results reflect a cohort effect, deterioration in individual instruments, or a broader change in market conditions. It focuses on several exponentially weighted moving-average crossover speeds, starting…
The article describes the components and operating choices of a long-running automated futures system. Its rules combine trend and momentum signals, breakouts, carry, relative signals, skew, acceleration, and mean reversion. Forecasts are weighted across…
The article compares trend following and mean reversion across holding periods, drawing on the author's earlier tests and a cited study spanning minutes to decades. Its broad synthesis is that mean reversion appears at horizons beyond roughly two years and…
This article develops a simple breakout trading rule and evaluates different lookback speeds across a set of futures markets. It discusses forecast scaling, turnover, and how trading costs can make the fastest breakouts impractical. The author notes that…
The article tests whether trading rules should adapt as volatility changes, using historical volatility divided by its rolling ten-year average to classify market conditions. It compares momentum and carry rule performance across volatility groups, then…
The post investigates why strong risk-adjusted trading forecasts can have weaker subsequent outcomes than a linear relationship would imply. Since forecasts divide expected return by recent volatility, a strong signal can reflect unusually low volatility as…
The post explains how to examine performance by trading rule within a dynamically optimized strategy. Because positions depend on optimization, instrument selection, capital, and contract rounding, the author uses static-portfolio estimates as a proxy for…
The document compares strategic equity and bond allocations combined with tactical absolute or relative momentum. It frames the choice around investor constraints, especially whether leverage is available and how much portfolio volatility the investor can…
The post illustrates overfitting with a strategy that classifies recent price movements into patterns and estimates the following month's average return for each pattern. It progressively divides a 64-business-day lookback into more segments, creating more…
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…