Strategy

  • Strategy Recalibration Breakout

    This report evaluates the Breakout strategy through signal diagnostics, parameter selection, robustness testing, and portfolio integration. It examines whether historical performance holds up under recent conditions and whether the strategy adds value to the portfolio. Despite strong results over the… Read more.

  • Crafting a Trading Strategy

    Developing a systematic trading strategy rarely begins with a perfect idea. Instead, it is an iterative process of forming hypotheses, testing them, discarding what does not work, and refining what does. In this article, we develop a futures trading strategy… Read more.

  • In Search of Diversification by Selecting Strategy Parameters

    Diversification is one of the most important tools for a systematic trader. This article will dive into the diversification possibilities of one simple strategy via different parameters. The article will both discuss the theoretical foundations and apply these to a… Read more.

  • Systematic Cash Management for Futures Traders — Part I

    This is the first article in a series about cash management for futures traders. This article lays the theoretical foundations needed to understand the topic in more detail and will introduce two systematic strategies for interest optimization and automatic margin… Read more.