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.
2,013 documents
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 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 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 reviews personal investment and futures trading performance for the 2022–23 UK tax year. The analysis separates UK shares, long-only equity ETFs, bond ETFs, futures trading, and the combined portfolio, assigning benchmarks to the different…
The document presents example ETF allocations for investors with different amounts to invest and different risk targets. For larger portfolios, it gives mixes of UK, Asian, European, and US equities alongside emerging-market, global government, global…
This introductory overview distinguishes four trading roles: proprietary traders using a firm’s capital, buy-side portfolio managers making decisions for clients, sell-side traders working at financial institutions, and independent traders using personal…
This annual review explains how the author groups UK stocks, ETFs, equity hedges, systematic futures trading, and cash to assess performance against suitable benchmarks. It reports contributions and internal rates of return, compares stock picking and…
The article revisits a claim that CAPM explains returns across asset classes but not within them. It corrects the comparison by using futures returns as excess returns over the risk-free rate and distinguishing standard deviation from beta, which is based on…
The document presents instrument groupings from a correlation-based clustering analysis of a broad futures universe. It compares solutions with different cluster counts, from two through ten, and interprets the resulting groups as risk-on, risk-off,…
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 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 outlines operational and structural tradeoffs between large and small trading firms. It attributes advantages to large organizations in market breadth, assets under management, access to over-the-counter markets, data-cleaning capacity,…
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 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…
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 article explains the pricing developer’s role in a systematic hedge fund and how market data is prepared for research and trading. It divides the trading pipeline into pricing and feeds, signal research, and execution, then focuses on building the…
The document explains how quantitative methods have expanded across finance as electronic trading, data driven asset management, and stronger risk oversight have changed the industry. It describes three career areas: portfolio management, where statistics…
The document explains QSTrader’s basic asset class hierarchy for representing instruments in a backtesting system. A generic base class provides a place for future shared behavior, while the described subclasses represent cash and equities. Cash stores its…
This article outlines the interface and storage choices for a reusable templated matrix class intended for quantitative finance calculations. It compares `std::vector` with `std::valarray` and favors a vector of row vectors for straightforward element…
This article explains why tactical asset allocation strategies can be difficult to evaluate over long periods: allocation signals are often monthly, leaving relatively few observations, and market regimes may persist for years. Retail investors may also lack…
The article explains why production quantitative software should generally rely on a maintained numerical library instead of a custom matrix implementation. It introduces Eigen as a C++ option, describing its runtime-sized matrices, dense and sparse…
This guide explains how traders can plan the development of software that implements a systematic strategy. It distinguishes codifying rules from automating calculation and execution, then recommends defining trading frequency, instruments, broker…
This update describes a planned redesign of QSTrader from an equities-focused event-driven backtester into a system spanning research, simulation, paper trading, and live trading. Its proposed architecture separates alpha forecasts from portfolio…
This article describes how to simulate statically allocated, periodically rebalanced portfolios with QSTrader. It uses an All Weather style allocation across US equities, long and intermediate government bonds, gold, and commodities as an example, and…