Every research project, with its status stated plainly.
Completed work, ongoing analysis, replication studies, and planned research are all listed here and clearly distinguished. Preliminary work is never presented as final.
QuestionDoes systematic trend following continue to generate economically meaningful returns in modern futures markets, and how has its performance changed across time, market structure, volatility regimes, and implementation assumptions?
Research area
Futures · Trend Following · Portfolio Construction
Frequency
Daily data, monthly signal evaluation and rebalancing
Methods
Non-overlapping monthly returnsSign and magnitude regressionsNewey–West inferenceTwo-way clustered standard errors+6 more
Current statusCompleted. Net Sharpe of the monthly 12/1 benchmark falls from 1.51 before 2009 to 0.42 after 2008. Combining 12 pre-specified lookback and holding-period rules into one equal-weight, internally netted book raises post-2008 net Sharpe to 0.62, lowers maximum drawdown from 18.8% to 12.8%, and reduces annual cost drag from 1.20% to 0.75%. In the final 74-market funded simulation, the multi-horizon book has the highest Sharpe above cash at 0.64 with a 9.1% maximum drawdown.
QuestionCan positions, trades, cash flows, and account values from several brokerage accounts be consolidated into one auditable daily NAV series and a consistent set of portfolio performance and risk metrics?
Research area
Trading Infrastructure · Portfolio Construction
Frequency
Daily, with intraday position refresh
Methods
Daily NAV reconstructionTime-weighted return constructionCash-flow separationBroker reconciliation and break reporting+1 more
Current statusA private analytics system in development. The core problem is accounting discipline: separating trading performance from capital flows, and reconciling every derived number back to a broker record.
QuestionDo systematic futures strategies remain credible after the assumptions that usually make a backtest look attractive — contract economics, currency conversion, volatility forecasting, whole-contract sizing, costs, concentration limits, and leverage — are made explicit, and can economically distinct, pre-specified strategies improve portfolio risk without retrospective selection?
Research area
Futures · Trend Following · Portfolio Construction
Frequency
Daily implementation, monthly decision timing
Methods
Frozen-universe research governanceIndependent Python reconciliation of every accepted resultLagged EWMA volatility forecastingVolatility-normalized position sizing with whole-contract rounding+7 more
Current statusCompleted. A fixed equal-risk portfolio of four pre-specified strategies preserved the best standalone Sharpe ratio (0.964) while reducing maximum drawdown by 25.3%, from 20.01% to 14.94%. Under the final risk target, concentration caps, leverage ceiling, gross notional limit, and whole-contract rounding, the implementable account compounds at 6.44% net with 7.19% volatility, a 0.877 Sharpe ratio, and a −11.95% maximum drawdown. All 31 complete rolling five-year windows were positive.
QuestionDo returns in NSE-listed stocks display evidence of slow information diffusion, and can delayed price response help explain subsequent return continuation?
Research area
Equities · Momentum · Statistical Research
Frequency
Daily data, monthly portfolio formation and rebalancing
Methods
Cross-sectional portfolio sortsPanel regressions with controlsTwo-way clustered standard errorsNewey–West inference+3 more
Current statusWork in progress. The design tests continuation while controlling for liquidity and size, so that a diffusion interpretation is not confused with a liquidity premium.
QuestionCan textual information improve the timing, filtering, or interpretation of systematic trend signals beyond what price, volatility, and liquidity variables already provide?
Research area
Machine Learning · Statistical Research · Futures
Frequency
[FREQUENCY TO CONFIRM]
Methods
Preregistered hypotheses and specificationPrice-only baseline as the comparisonWalk-forward evaluationNested cross-validation for hyperparameters+2 more
Current statusPlanned only. No tests have been run. This page is a preregistration-style statement of intent, hypotheses, and overfitting controls, published before any results exist.
QuestionCan a canonical 252-trading-day trend-following baseline be implemented independently in two systems and reconciled at daily return level, and where do the remaining differences come from?
Research area
Futures · Reproducibility · Trend Following
Frequency
Daily
Methods
Specification-first implementationDaily return reconciliationDifference attribution by componentTolerance thresholds and break reports+1 more
Current statusThe reconciliation is the deliverable. Its value is in identifying which specification details must be stated precisely for a published trend result to be reproducible at all.