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
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%
This paper develops a reproducible framework for predicting gold-price direction and converting the forecasts into a currency-hedged SHFE-COMEX spread-trading strategy.
PAPER REPORTS · Hedged (USD/CNH) walk-forward strategy: annual return 14.8%, volatility 7.1%, Sharpe 2.08, max drawdown 4.2%, win rate… · Unhedged version, same setup: annual return 11.2%, volatility 9.0%, Sharpe 1.24, max drawdown 12.7%, win rate 61.3%, 52…
Day-ahead electricity price forecasts support trading and storage decisions, but for battery arbitrage predicting intraday price spreads is more relevant than predicting individual hourly prices.
PAPER REPORTS · Germany, 01.01.2021-31.12.2025, 1 MWh BESS, eta=1, 25 EUR round-trip cost: best Spread THieF total profit 154,265 EUR… · Spain, same period and setup, eta=1: best Spread THieF total profit 81,859 EUR (NARX) vs Oracle 95,336 EUR; relative…
This paper proposes an investment strategy through resource allocation into Kalshi Crypto Event Contracts in order to effectively hedge exposure to spot asset volatility.
PAPER REPORTS · Bullish 2024 (Mar-Dec 2024 contract), Strategy C with Kalshi fees: +38.69% return vs BTC +36.23%; Sharpe 1.27 (1.30… · Flat Dec 2025 (Nov-Dec 2025 contract), Strategy C: -3.04% (Table 1) vs BTC -3.58%; Sharpe -0.10 with fees (+0.05…
MASTER's inter-stock multi-head attention -- the module responsible for modeling cross-sectional stock relationships -- accounts for 42.5% of model parameters and 25% of predictive value.
PAPER REPORTS · Long-short portfolio Sharpe at N~3,500 (full A-share, test 2019-2020, 4 seeds, frictionless): PureLSTM 5.6 +/- 0.5;… · IC / Rank IC as the primary reported performance: CSI300 Original 0.058 +/- 0.007 / 0.066 +/- 0.003 (5 seeds); CSI800…
OUR BACKTEST · Sharpe -0.58 · Return -50.8% · Max DD -63.3%
Lead-lag relationships are widely used in financial time series, and many clustering algorithms based on them have been developed. The traditional DTW-KMedoids algorithm performs well both on the synthetic dataset and the real financial dataset.
PAPER REPORTS · Sharpe 0.866, annual return 6.21%, annual volatility 7.17%, max drawdown -63.908, hit rate 0.520, profit-loss ratio… · Sharpe 0.808 / 0.790 (KShape mod / med), lead strategy, 679 assets, same period; drawdowns -67.604 / -69.418
OUR BACKTEST · Sharpe 0.39 · Return +27.5% · Max DD -39.3%
Long-term transmission rights (LTTRs) are designed to support hedging in interconnected European electricity markets. LTTR auction prices have historically fallen short of forward market prices, signaling limited arbitrage.
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%