คลังความรู้

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 explains how capital assumptions change trading account curves and position sizing. Fixed capital keeps the account base constant, so profits and losses are calculated from the same amount. Full compounding updates the capital base after each…

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 career guide explains that quantitative and systematic trading covers many assets, holding periods, strategies, and degrees of automation. It notes overlap with related roles such as risk management, portfolio management, execution, quant development,…

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 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 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 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…

This outline describes a study of trading an equity curve: reducing a system’s exposure after weak performance and restoring exposure when a simulated account recovers. It frames the approach as an overlay with separate rules for detecting poor performance,…

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 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 post compares a stateless trend-following approach with trade management that changes as a position develops. It describes a test system using a moving average signal, volatility-scaled positions, and stop losses. Dynamic volatility control resizes…

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 lays out a taxonomy for discussing ethical problems in finance and the claim that most hedge funds are not inherently evil. Its headings identify several areas of concern: insider information, market manipulation that affects real prices,…

The document considers whether volatility targeting improves a trend-following strategy. Its motivating example is a long position that gains as price rises but is reduced because the position’s risk has increased. The author notes that trend following often…

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 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…