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 · 8 shown
Portfolio optimization is constrained by linear assumptions and limited integration of multi-modal information.
PAPER REPORTS · SBCA 2-asset (CAT, GILD), test 2021–2022, net of 0.25% one-way commission: final portfolio value 1.4392, annual return… · SBCA 4-asset (CAT, GILD, GS, KO), test 2021–2022, net of 0.25% one-way commission: final portfolio value 1.3564, annual…
OUR BACKTEST · Sharpe 2.62 · Return +54.1% · Max DD -10.1%
Formulaic alpha mining seeks to discover executable expressions that capture predictive market signals in a vast, noisy search space.
PAPER REPORTS · AlphaRLM-8B CSI 300: annualized excess return 12.14% (0.1214±0.0011), MDD -6.15%, IC 0.0256, RankIC 0.0424, ICIR… · AlphaRLM-8B CSI 1000 (CSI 300-trained factor pool): annualized excess return 17.45%, MDD -11.98%, IC 0.0302, RankIC…
OUR BACKTEST · Sharpe 0.83 · Return +105.8% · Max DD -50.8%
PAPER REPORTS · AIM_PU_CVaR (real data, daily, 2020-01-01 to present, T=1471 days): Sharpe ratio 0.7718; annualization not stated; no… · AIM_PU_CVaR: total reward 1.5048, mean daily return 0.0010, total CVaR-like cost 0.0194, 23 crisis days (>5% daily…
OUR BACKTEST · Sharpe 0.98 · Return +61.8% · Max DD -22.0%
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%
Abstract A key puzzle in finance is why algorithmic traders with advanced neural models sometimes fail to beat simple traditional strategies, while in other cases they clearly outperform them.
PAPER REPORTS · Cluster 0 (most efficient), test 2025-2026, net of 0.1% one-way costs: DDPG annualised return 34.72%, cumulative… · Cluster 0 best classical: HRP Sharpe 1.591, Calmar 2.3562, max drawdown -13.07%, annualised return 30.80%
OUR BACKTEST · Sharpe 0.78 · Return +25.3% · Max DD -11.7%
The authors present a rigorous empirical evaluation of three distinct optimization paradigms for institutional factor portfolio construction: an entropy-based photonic quantum annealer (Dirac-3, Quantum Computing Inc.), a commercial mixed-integer programming…
PAPER REPORTS · Dirac-3, best overall configuration (beta1=0, beta2=1): Sharpe 0.760, Sortino 0.841, Calmar 0.567, MDD -3.47%, CVaR5%… · Dirac-3 (beta1=0, beta2=0.5): Sharpe 0.721, Calmar 0.538, MDD -2.63% (lowest in both sweeps), CVaR5% -1.107%, annual…
OUR BACKTEST · Sharpe 0.25 · Return +11.4% · Max DD -18.7%
Risk-aware Q-learning (RaQL) provides a model-free, two-timescale estimator for dynamic risk objectives, but its finite-budget behavior remains fragile: fixed inner-loop hyperparameters can produce unstable value estimates, persistent Bellman residuals, and…
PAPER REPORTS · Scheme 6 out-of-sample (918 daily obs, chronological test set, after 5bp turnover costs, mean over 20 seeds): Sharpe… · Scheme 0 fixed-parameter baseline out-of-sample (same test set, after 5bp costs, 20 seeds): Sharpe 0.5628 (sd 0.2281),…
OUR BACKTEST · Sharpe 0.34 · Return +16.6% · Max DD -10.4%
Recent advances in Generative AI have substantially improved financial sentiment analysis through post-trained financial large language models (LLMs).
PAPER REPORTS · FinSMART (static): cumulative return 264.9%, annualized return 91.5%, Sharpe 1.97, Sortino 2.40, Calmar 4.23, RankIC… · FinSMART (periodically retrained every 6 months): cumulative return 406.2%, annualized return 125.7%, Sharpe 2.41,…
OUR BACKTEST · Sharpe -0.46 · Return -48.2% · Max DD -75.2%