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 · 7 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%
Clean energy equities play a pivotal role in sustainable finance and the global energy transition, yet their performance remains highly sensitive to global fossil energy price fluctuations and climate policy uncertainty.
OUR BACKTEST · Sharpe 0.07 · Return +5.2% · Max DD -40.7%
Algorithmic trading now represents a market exceeding $20 billion, where even marginal gains in signal robustness can translate into economically significant returns.
PAPER REPORTS · Hybrid ensemble, OOS 2025 (252 trading days), 2.2bp per trade per leg: total return 51.26%, Sharpe 2.44, Sortino 5.35,… · Hybrid ensemble, OOS 2025: annualised CAPM alpha 0.423 (p = 0.011), beta 0.048, Probabilistic Sharpe Ratio 0.960
OUR BACKTEST · Sharpe 0.75 · Return +696.5% · Max DD -365.1%
Hedge ratios, factor models and diversified portfolios all rest on an estimate of which firms move together.
PAPER REPORTS · Variance-harvest attribution (selling variance at VIX-squared against the paper's 12m equal-weighted realized leg, July… · Risk by REC quartile over the same 329 months: probability of loss 0.29, 0.21, 0.26, 0.15; mean loss given loss…
OUR BACKTEST · Sharpe 0.73 · Return +68.2% · Max DD -36.5%
Against the background of increasing volatility and complex risk factors in global markets, options and futures have become important instruments for risk hedging and uncertainty management.
PAPER REPORTS · Futures hedged portfolio, 2019-2024: annualized return 7.95%, annualized volatility 10.28%, hedging efficiency 46.87%,… · Option hedged portfolio, 2019-2024: annualized return 8.31%, annualized volatility 8.76%, hedging efficiency 54.73%,…
OUR BACKTEST · Sharpe 0.74 · Return +83.0% · Max DD -47.8%
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%
The Observable Matrix Dynamics (OMD) approach monitors the time development of complex non-linear systems through the trajectory of a fixed-size distance matrix and its spectrum.
PAPER REPORTS · Early-warning ROC AUC (the paper's own signal, causal trailing 126-day features, label = forward peak-to-trough…
OUR BACKTEST · Sharpe 0.69 · Return +120.4% · Max DD -33.3%