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
This study compares portfolio optimization methods using real trading-rule returns. Each trial samples nine rules from one instrument, varies the available in-sample history, and evaluates performance out of sample. Methods include mean-variance portfolios…
This annual review reports portfolio-wide and futures results for the UK tax year, separating mark-to-market performance, interest, fees, commissions, and slippage. It also distinguishes pure futures returns from gains and losses associated with cash-like…
This annual performance review excerpt explains how the author divides household financial assets and trading activity into distinct performance categories. It separates UK single stocks, long-only investments, an equity-neutral sleeve, systematic futures…
The document challenges claims that sophisticated diversification and portfolio optimization methods reliably outperform simple weighting schemes. It describes how optimization can be sensitive to uncertain Sharpe ratio and correlation estimates, while…
The document outlines an investor’s collection of accounts and strategies, including futures trading, an equity futures hedge, UK stocks, exchange-traded funds, and a diversified stocks-and-bonds portfolio. It identifies the intended role of each: the hedge…
This annual review examines a futures trading account across asset classes and strategy groups. It compares returns with two benchmarks, reports summary performance statistics, and describes which markets and rule groups helped or hurt during the reviewed…
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 article proposes an automatic procedure for finding changes in historical trading parameters before portfolio optimization. It considers forecast and instrument weights, and describes recursively testing whether an early return segment differs from the…
This study asks whether exponentially weighted estimates of strategy Sharpe ratios improve portfolio optimization compared with using the full available history. It tests several exponential spans alongside an all-history estimate, across different in-sample…
The post considers how to organize portfolio fitting across a grid of instruments and trading forecasts, such as momentum and carry rules. It compares fitting all rule and instrument combinations together, clustering correlated combinations, fitting first…
This personal performance review covers a UK tax year and describes returns from UK shares, stock and bond funds, systematic futures trading, and the combined portfolio. It explains the author’s benchmark choices and separates performance contribution from…
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 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…
The document explains the Position component in an early event-driven trading system. A position records buys and sells, average prices, commissions, cost basis, net exposure, and realized and unrealized profit and loss. The broader design separates this…
The article develops an object-oriented framework for generating synthetic correlation matrices as an initial component of a tool for creating correlated financial time series. An abstract base class defines a common generation interface so different models…
The article explains an event-driven backtesting design that separates a lean Portfolio class from a PortfolioHandler. The Portfolio stores cash and positions, updates position values after transactions, and calculates portfolio cash, equity, and realized…
This article recommends five less commonly cited reading choices for people preparing for quantitative finance roles. The list spans mathematical finance, continuous-time arbitrage and derivative pricing, career accounts from practitioners, evaluation of…
The document explains why no single programming language is best for every algorithmic trading system. Language choice follows system requirements: research and backtesting, signal generation, portfolio construction, risk management, and order execution have…