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 · 17 shown
PAPER REPORTS · Decile long-short, intraday momentum (even lags, last 5 days): 0.23% per half-day (t=19.85); CAPM alpha 0.23 (t=19.87);… · Decile long-short, overnight momentum (even lags, last 5 days): 0.42% per half-day (t=19.34); TW alpha 0.37 (t=18.90);…
We study long-term investment in an Ornstein-Uhlenbeck diffusion model with exponential utility. We solve the finite-horizon problem explicitly and show that information delay qualitatively alters long-horizon behavior.
OUR BACKTEST · Sharpe -0.06 · Return -0.6% · Max DD -3.9%
To extend conventional model-level feature importance to economically meaningful portfolio outcomes and decisions, we propose a local first-order attribution-propagation framework that maps allocation-function feature exposures to local sensitivities of…
PAPER REPORTS · XGB baseline, OOS 2006-2024: net Sharpe 0.6175 (annualised, 5bp per unit turnover); gross Sharpe 1.0207; net mean 2.55%… · FFN baseline, OOS 2006-2024: net Sharpe 0.5750 (5bp); gross Sharpe 1.3051; net mean 2.65% p.a.; net FF5 alpha 1.12%…
OUR BACKTEST · Sharpe -0.82 · Return -24.2% · Max DD -31.5%
Abstract This study examines the predictive relationship between sentiment extracted from Google News headlines and the log spreads of cointegrated or highly correlated stock pairs, aiming to enhance pairs trading profitability.
PAPER REPORTS · MA_V, Full-Predicted gn_a: return 301.52%, Sortino 1.029, Sharpe 0.693, Max DD 0.016, 181 trades (68-day test period,… · MA_V, Full-Predicted rand_a (random sentiment): return 314.36%, Sortino 0.446, Sharpe 0.686, Max DD 0.021, 325 trades…
We investigate a continuous-time financial market where the asset price exhibits weak (sublinear) mean reversion and has a nonzero drift.
OUR BACKTEST · Sharpe 0.09 · Return +0.0% · Max DD -0.1%
This paper examines whether a cointegration-based pairs trading strategy between PepsiCo and The Coca-Cola Company is statistically robust and economically exploitable.
PAPER REPORTS · In-sample 2018–2023, θ*=(2.15, 0.50): annualised net Sharpe 0.67, net P&L $16,941 on $100,000, 9 round-trips. · In-sample 2018–2023 excluding the COVID window: annualised net Sharpe 0.28, net P&L $5,759, 8 trades (0.20% costs).
OUR BACKTEST · Sharpe 0.11 · Return +0.2% · Max DD -1.4%
The equal-weighted portfolio is a passive, rule-based strategy that has historically been difficult to outperform, delivering higher returns than the capitalization-weighted "market" benchmark across many markets and periods.
PAPER REPORTS · Mean-reverting frictional λ*,mr, 1995–2024 monthly, net of 15bp proportional costs: - cumulative net return 44.92 -… · Trending frictional λ*,trend, 1995–2024, net of 15bp costs: - cumulative net return 31.41 - return 0.13, volatility…
OUR BACKTEST · Sharpe 0.24 · Return +0.0% · Max DD -0.0%
The object of this research is the economic security policy controlling algorithmic trading strategies for prop traders based on Polynomial Moving Regression Bands (MRB).
PAPER REPORTS · Six-month live trading test, four cryptocurrencies: buy-and-hold outperformed the proposed PAR automated system on all…
In financial markets, a sequential policy that reacts systematically to price movements may become predictable to other market participants.
PAPER REPORTS · Exposure-matched within-stock timing alpha, principal 10-minute Qwen3.5 price text: -45.7 bps per stock-day, 95% CI… · Chart-only 10m: -29.9 bps, CI [-33.7,-26.2], 14,937 stock-days; multimodal 10m: -48.9 bps, CI [-52.7,-45.0], 14,438…
At 15-minute horizons, directional mean reversion is far stronger and more pervasive in cryptocurrency markets than in US equities: scored under one matched, strictly out-of-sample protocol, 90% of 183 Binance pairs carry significant directional reversal…
PAPER REPORTS · Gross edge per trade peaks near 1.3 bp of notional (BTC/ETH, 15m, 2025-01 to 2026-02) against a 5 bp cheapest maker… · Directional accuracy rises monotonically with confidence threshold, clearing 56% on the most confident bars (BTC/ETH);…
Predicting financial asset returns remains one of the most difficult challenges in empirical finance, driven by the low signal-to-noise ratio and the semi-strong form of market efficiency.
PAPER REPORTS · Sector LSTM (main 3-layer, k=10, 1995-2024): mean daily long-short return 0.100% before costs, Newey-West t = 7.81,… · Sector LSTM appendix figures (after 2bp per half turn): mean daily return 0.053%, t-statistic 4.106, annualized return…
OUR BACKTEST · Sharpe -0.03 · Return -9.6% · Max DD -140.3%
At the scale of seconds the observed mid carries a stationary, mean-reverting error around a latent efficient price.
Recently, it has been proposed to model the microstructure noise in prices by a continuous-time process with continuous sample paths that are rougher than those of a standard Brownian motion.
Gaussian Boson Sampling (GBS) provides a native photonic quantum heuristic for sampling dense subgraphs from adjacency matrices, offering a scalable physical approach to combinatorial graph search problems.
PAPER REPORTS · {"costs": "zero transaction costs and zero price impact assumed", "period": "2020 (trading effectively April 2020… · {"costs": "zero transaction costs and zero price impact assumed", "period": "2020", "sharpe": "2.050 ± 0.190",…
OUR BACKTEST · Sharpe -1.00 · Return -5.8% · Max DD -6.2%
We audit whether candle-based machine-learning models can turn predictions of cryptocurrency extrema or short-horizon outcomes into positive Binance Spot paper policies after assumed costs.
PAPER REPORTS · Frozen mandatory-daily selector: -6.72% compounded, 2026-07-01 to 07-19, 19 cycles, 3 wins/16 losses, 31 bps… · Frozen mandatory-daily selector cost stress, same period: -4.74% at 20 bps, -6.72% at 31 bps, -10.21% at 51 bps…
OUR BACKTEST · Sharpe 0.00 · Return +0.0% · Max DD 0.0%
Building on the identity that expected regret equals the covariance between costs and decisions, this paper develops the complete derivative theory of the covariance regret functional.
OUR BACKTEST · Sharpe 0.57 · Return +131.1% · Max DD -35.8%