Category: General

In the evaluation of new signals and trading strategies, a common practice is to initiate the research process by analyzing a full set of trade statistics. The rationale behind this approach is simple: strategies exhibiting attractive trade-level metrics are considered eligible for further due diligence, whereas those that do not can be quickly rejected. While […]

Intraday trading strategies have gained significant recognition for their ability to capture short-term market inefficiencies and extract uncorrelated returns. From time-tested opening-range breakouts (ORB) to volatility-based approaches, these strategies can deliver strong results when executed correctly. However, the speed, precision, and scale required to implement them effectively are nearly impossible to achieve manually. This underscores […]

Introduction Trend-following strategies are widely regarded for their long-term returns and diversification benefits. Yet, much of the literature often highlights entry and exit signals, leaving position sizing relatively underexplored. How positions are sized and managed can profoundly affect the shape and stability of a strategy’s equity curve, influencing not only total returns but also drawdowns, […]

Traditional financial theory asserts that higher risk should be accompanied by higher expected returns, with risk commonly measured by the volatility of an asset’s daily log returns. This principle suggests that investors who endure greater uncertainty should be rewarded with superior performance over the long run. However, empirical evidence challenges this notion. Over the past […]

In the world of investing, stories of traders achieving extraordinary returns often make headlines. These “market wizards” are celebrated, inspiring many to emulate their strategies. But how much of their success is due to skill, and how much is simply luck? While it’s challenging to answer this question definitively, we conducted an experiment to help […]

In the world of finance, a long-standing belief persists: trading is a game best left to large institutional investors. This myth suggests that retail investors lack the resources, technology, and market influence to compete effectively. However, recent developments challenge this notion, revealing that retail traders are not only capable but may sometimes be better positioned […]

Introduction: Carlo Zarattini is actually a trained mathematician. However, his family history suggests that the markets were already in his blood. After completing his math studies in Padua, the native Italian earned a Master’s degree in Quantitative Finance from USI Università della Svizzera italiana and Imperial College Business School in London. He also worked as […]

Shorting US equity markets has always been a challenge for active traders due to the positive long-term drift, commonly referred to as the equity risk premium. One common method to avoid the headwind from this long-term market drift is either to completely bypass the short side of a trading signal or to add a market […]

Learn how to evaluate a trading strategy using p-values, Monte Carlo simulations, and bootstrapping methods to distinguish real edge from randomness.