Archive - Quant Trading Rules

Coding Trend Factor

From Paper to Python: Implementing a High-Performing Factor from Academic Research

Feb 7 •

January 2025

Intraday Momentum for ES and NQ

A system that delivered +1.5 Sharpe ratio over the past 15 years

Jan 16 •

December 2024

Fast trend following

+20% annual returns with a trend-following system in a shorter timeframe

Dec 11, 2024 •

November 2024

Statistical Arbitrage

Can we get over 20% of annual returns uncorrelated with market risk?

Nov 10, 2024 •

October 2024

Can a good execution algorithm enable a 28% annual return with a 19% max drawdown?

Oct 19, 2024 •

September 2024

August 2024

Long & Short Mean Reversion Machine Learning

Is it really possible to get over 40% annual returns over the past 10 years trading an ML-based mean reversion model?

Aug 26, 2024 •

Machine Learning and the Probability of Bouncing Back

Is it possible to get over 40% annual returns over the past 10 years trading an ML-based mean reversion model?

Aug 18, 2024 •

A Mean Reversion Strategy from First Principles Thinking

Using a problem-solving technique to deliver 24% annual return trading S&P 500 constituents

Aug 11, 2024 •

Trading ETFs while fear and greed rise

A system to scaling into positions that deliver 21% annual returns since 1999

Aug 4, 2024 •

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