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.
5,922 documents
The article describes a three-part approach to equity statistical arbitrage for independent traders. First, rank related stock pairs using measures of historical mean-reversion returns and consistency of convergence, then retain economically sensible…
This article frames trading as the management of positions rather than a sequence of individually realized trades. Buying and selling exchange cash for assets; profit and loss arise as the value of the held exposure changes. The practical process is to…
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 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 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 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 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 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 post develops a framework for thinking about the compensation investors should require for taking on risk, focusing on standard deviation and skew. It evaluates investments by geometric growth or final wealth at selected points in the return…
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 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 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 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 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 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 document describes replacing the funds in an example long-only portfolio of UK-listed ETFs with ESG-labelled alternatives. Fund selection follows the earlier portfolio’s practical preferences for low ongoing charges, adequate assets under management,…
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 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 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,…