Research
Every research paper we have written up, newest paper first. New arrivals are screened automatically for topical fit with systematic trading; the ones that clear it are read, written up, and — where the idea is testable on our data — backtested. Particular focus on alpha hypotheses that can be formalised and tested. The Radar also covers portfolio construction, market risk and execution where the research is directly relevant to systematic investment processes. Follow new entries by RSS.
16,915 papers screened · 588 on the radar · 4 shown
Reinforcement learning for trading often struggles to balance upside participation with drawdown control.
PAPER REPORTS · SPY, test 2020–2022, seed 42, 0.1% proportional transaction cost: total return 27.62%, annualized return 8.48%, Sharpe… · SPY, test 2020–2022, mean ± std over seeds {7,11,19,23,42}, 0.1% cost: total return 0.2725 ± 0.0109, Sharpe 0.6219 ±…
OUR BACKTEST · Sharpe 0.89 · Return +42.3% · Max DD -15.6%
Mitigating \emph{drawdown}, the decline in wealth from its running peak, presents a canonical problem in path-dependent risk control.
PAPER REPORTS · Figure 1 reports higher estimated expected terminal return E[R_pi] for the drawdown-modulated policy than for the… · Maximum drawdown is guaranteed by construction: P(d* <= d_max) = 1 and V(k) >= (1 - d_max)V_max(k) > 0 for all k with…
OUR BACKTEST · Sharpe -1.60 · Return -0.0% · Max DD -0.0%
Abstract We develop a continuous-time framework in which the risk associated with leverage is parameterized by a dimensionless drawdown-risk index relative to an arbitrary reference asset.
PAPER REPORTS · μ_{0|w} = 0.145 with σ_{0|w} = 0.274 and s_{0|w} = 0.665 for the scaled growth-optimal Kelly strategy k_{0|e1}w* on the… · μ_{e1|w} = 0.096 with σ_{e1|w} = 0.223 and s_{e1|w} = 0.543 for w = e1 + k_{0|e1}w*_{e1} (index-relative…
OUR BACKTEST · Sharpe 0.67 · Return +59.2% · Max DD -35.9%
Finite multiplicative systems often cease to evolve when a lower continuation threshold is reached,whereas standard growth-optimal benchmarks assume uninterrupted continuation.
OUR BACKTEST · Sharpe 0.68 · Return +16.4% · Max DD -8.3%