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 · 15 shown
Finding which variables cause which others in multivariate time series, and at what lags, is central to science and policy, yet existing methods force a choice between flexible confounder adjustment, data-driven lag selection, and inference that controls the…
PAPER REPORTS · ACLE-VAR (the paper's adaptive-lag procedure, no confounders): weighted long-short, SPY dollar-hedged, open-to-close. · ACLE-VAR by strategy (Ann. Return % / Sharpe), 2004–2020, no costs: Naive 4.64/1.15; Top 50% 8.54/1.31; Top 25%…
OUR BACKTEST · Sharpe -0.33 · Return -2.2% · Max DD -4.6%
Taiwan’s central role in global semiconductor manufacturing exposes Taiwan-related ETFs to technology concentration, geopolitical uncertainty, and supply-chain disruptions, resulting in return distributions characterized by heavy tails, volatility clustering,…
OUR BACKTEST · Sharpe 0.37 · Return +28.9% · Max DD -34.3%
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%
Forecasters often score the same units per date against one standardized realized outcome. We show that every standardized forecast splits exactly into a component aligned with this common target and a component uncorrelated with it.
PAPER REPORTS · Three-way equal-weight selection, LLM equity panel, 157 weekly test dates Mar 2023–Jun 2026: relative-score risk 1.079,… · Three-way equal-weight selection, ETF panel, 196 monthly test dates (2005–2026 sample): relative-score risk 1.076,…
OUR BACKTEST · Sharpe 0.14 · Return +27.2% · Max DD -59.8%
Abstract Counterintuitively, the S&P 500 Index rose between January 3, 2022, and December 29, 2023, while exchange-traded funds (ETFs) seeking to deliver $$2\times $$ and $$3\times $$ daily returns of the index delivered substantially negative returns.
OUR BACKTEST · Sharpe 0.05 · Return +0.3% · Max DD -3.2%
We develop Entropic Value-at-Risk (EVaR) parity for tempered stable returns. EVaR-based inverse risk parity (IRP) and equal risk contribution (ERC) portfolios are constructed using multivariate normal tempered stable models and independent component analysis…
PAPER REPORTS · SECTOR EVaR-ERC ICA+NTS: cumulative return 853.79%, Sharpe 0.588, max drawdown 48.56%, turnover 6.93% (out-of-sample… · SECTOR EVaR-ERC ICA+CTS: cumulative return 821.40%, Sharpe 0.579, MDD 48.39%, turnover 9.49% (gross)
OUR BACKTEST · Sharpe 0.37 · Return +14.3% · Max DD -22.0%
For more than four decades, the 60/40 stock/bond portfolio has served as a benchmark for delivering reasonable returns without excessive risk. More recently, a 50/30/20 stock/bond/alternative portfolio has been suggested.
PAPER REPORTS · Markowitz: 11.6% annualized return, 9.0% annualized volatility, Sharpe 1.08, max DD 18.1%, mean DD 3.0%, turnover… · Simple Markowitz: 10.4% return, 9.3% volatility, Sharpe 0.91, max DD 15.8%, turnover 278.9%, same period and costs
OUR BACKTEST · Sharpe 0.43 · Return +18.9% · Max DD -16.4%
Investment performance is commonly presented either as a conventional cumulative-return chart, which fixes a historical starting date and traces performance forward, or as a trailing-return table, which fixes the current endpoint but reports only a small set…
OUR BACKTEST · Sharpe 0.43 · Return +53.4% · Max DD -59.1%
This paper examines whether the risk-adjusted performance of Environmental, Social, and Governance (ESG)-focused Exchange Traded Funds (ETFs) reflects distinct investment behavior or is primarily influenced by benchmark exposure, geography, and sector…
OUR BACKTEST · Sharpe 0.56 · Return +53.4% · Max DD -37.6%
Large language models (LLMs) are increasingly used to discover trading strategies, and much of the resulting literature shares a methodological weakness: many candidate strategies are generated, the best is reported, and neither look-ahead bias nor the…
PAPER REPORTS · Best gpt-4.1 discovery (E3, RSI x volume, 453-stock universe): design Sharpe 1.69 (2017-2021), evaluation Sharpe 0.18… · Best claude-sonnet-5 discovery: design Sharpe 0.44 (2017-2021), evaluation Sharpe -0.33 / -29% (2022-2025), DSR 0.18,…
OUR BACKTEST · Sharpe -0.10 · Return -10.8% · Max DD -47.8%
Abstract Market timing models aim to anticipate short-term market movements according to a given source of information. Such information could be extracted from an analysis of history or a forecast of the future.
PAPER REPORTS · S&P500 timing, 2018: index -6.7% annualized; Strat1-L 3.8%, Strat1-LS 14.3%, Strat2-L 0.8%, Strat2-LS 8.2% (no… · S&P500 timing, 2023: index 21.6%; Strat1-L 21.9%, Strat1-LS 22.1%, Strat2-L 25.5%, Strat2-LS 29.4% (no transaction…
OUR BACKTEST · Sharpe 0.61 · Return +49.0% · Max DD -31.2%
We develop parametric Entropic Value-at-Risk (EVaR) portfolio optimization for tempered stable Lévy returns.
PAPER REPORTS · ICA+NTS minimum-EVaR (EVaR_95): gross annualized Sharpe 0.616, CAGR 8.60%, annualized vol 15.28%, cumulative return… · ICA+NTS minimum-EVaR net Sharpe: 0.608 at 5bp, 0.599 at 10bp, 0.573 at 25bp; net cumulative return 630.95% at 25bp
OUR BACKTEST · Sharpe 0.24 · Return +20.5% · Max DD -37.6%
This paper studies conditional allocation between a growth/technology ETF basket, denoted by $G$, and a defensive income/value-oriented ETF basket, denoted by $D$.
PAPER REPORTS · Selected smooth-score policy, 2017-06-28 to 2026-05-15, 10bp cost: 19.24% CAGR, 19.29% vol, Sharpe 1.01, Sortino 1.22,… · Selected policy vs 50/50 G/D: annual excess 1.78%, tracking error 3.74%, info ratio 0.48, max DD improvement 1.95%
OUR BACKTEST · Sharpe 0.92 · Return +111.2% · Max DD -31.6%
Automated market makers (AMMs) are typically interpreted and evaluated as decentralized exchanges.
PAPER REPORTS · VBIAX, monthly TE, Jan 2, 2014 – Jun 30, 2026: G3M Pareto-dominates (higher CAGR and lower TE) for gamma in [2.73%,… · EQL NAV, economic mandate, Jun 19, 2018 – May 29, 2026: G3M dominates for gamma in [3.22%, 7.09%]
OUR BACKTEST · Sharpe 0.71 · Return +133.0% · Max DD -42.0%
Conformal prediction has traditionally been used to quantify prediction uncertainty.
PAPER REPORTS · DEV 2016-2021 (1,511 days), Config A: 28.45% annualised net log growth, Sharpe 1.336, max drawdown 27.68%, Calmar… · DEV 2016-2021, Config B: 25.84% annualised net log growth, Sharpe 1.386, max drawdown 20.26%, Calmar 1.376, annualised…
OUR BACKTEST · Sharpe 0.41 · Return +45.1% · Max DD -40.4%