Quant Trader Journal — Research Catalog
type: Dataset
alternate name: QTJ Papers Dataset
description: Machine-readable catalog of quantitative-trading research articles published by Quant Trader Journal. Each entry references a ScholarlyArticle entity with title, URL, and description. Coverage: systematic strategy design, risk management, backtesting methodology, market microstructure, and championship-grade trader analysis.
license: https://quanttraderjournal.com/terms.html
is accessible for free: true
creator: Quant Trader Journal
publisher: Quant Trader Journal
date published: 2024-01-15
date modified: 2026-04-26
language: en
keywords: quantitative trading research
keywords: systematic strategy backtesting
keywords: risk-adjusted returns
keywords: Sharpe ratio
keywords: Calmar ratio
keywords: walk-forward validation
keywords: bootstrap confidence intervals
keywords: multiple-testing correction
keywords: transaction-cost modelling
keywords: market microstructure
keywords: regime detection
keywords: kelly criterion
keywords: expected shortfall
keywords: VaR
keywords: championship audit cross-reference
spatial coverage: Global financial markets
temporal coverage: 2024-01-01/2026-12-31
variable measured: Sharpe Ratio
  type: PropertyValue
  description: Risk-adjusted return: (return - risk-free rate) / standard deviation.
variable measured: Calmar Ratio
  type: PropertyValue
  description: Annualised return divided by maximum drawdown.
variable measured: Maximum Drawdown
  type: PropertyValue
  description: Largest peak-to-trough decline in equity, percent.
  unit text: PERCENT
variable measured: Confidence Interval
  type: PropertyValue
  description: Bootstrap 95% confidence interval bounds.
variable measured: Statistical Significance
  type: PropertyValue
  description: p-value with multiple-testing correction.
variable measured: Walk-Forward Performance
  type: PropertyValue
  description: Out-of-sample performance with rolling-window refit.
distribution: Research catalog (JSON-LD)
  type: DataDownload
  encoding format: application/ld+json
distribution: URL sitemap (XML)
  type: DataDownload
  encoding format: application/xml
distribution: LLM-optimised summary (text)
  type: DataDownload
  encoding format: text/plain
citation: Quant Trader Journal (2026). Research Catalog [Dataset]. https://quanttraderjournal.com/data/papers.jsonld
measurement technique: Published-source review with source links where available.
measurement technique: Explicit separation of sourced facts from illustrative scenarios.
measurement technique: Worked examples for statistical and risk-management concepts.
measurement technique: Conflict disclosure for related-party Vector Ridge coverage.
measurement technique: Corrections and methodology challenges accepted through the editor inbox.
main entity: Research articles

Quant Trader Journal
type: Organization
founding date: 2023
description: Quantitative editorial publication within the Vector Ridge ecosystem. Published-source reviews and transparent worked examples; no paid placement or affiliate commissions.
name: QTJ Editorial

Research articles
type: ItemList
number of items: 35
item list order: https://schema.org/ItemListOrderAscending
item list element: ListItem
  position: 1
  item: Bayesian Parameter Estimation for Trading Strategies
item list element: ListItem
  position: 2
  item: Benchmarking CTA Performance: Index Construction and Biases
item list element: ListItem
  position: 3
  item: Decomposing Carry Trade Returns in G10 FX
item list element: ListItem
  position: 4
  item: Cointegration-Based Pairs Trading: Still Viable in 2024?
item list element: ListItem
  position: 5
  item: Correlation Breakdown During Market Stress Events: 2008–2025
item list element: ListItem
  position: 6
  item: Cross-Asset Correlation Dynamics in 2025: An Empirical Update
item list element: ListItem
  position: 7
  item: Data Snooping and the Multiple Testing Problem in Strategy Development
item list element: ListItem
  position: 8
  item: Drawdown Analysis Methods for Systematic Traders
item list element: ListItem
  position: 9
  item: Ensemble Methods for Trading Signal Combination
item list element: ListItem
  position: 10
  item: Expected Shortfall vs. VaR: Practical Implications for Futures Traders
item list element: ListItem
  position: 11
  item: Fat Tails and Position Sizing: Why Normal Assumptions Fail
item list element: ListItem
  position: 12
  item: Feature Importance and Selection in Machine Learning Trading Strategies
item list element: ListItem
  position: 13
  item: Extracting Trading Signals from the FX Volatility Surface
item list element: ListItem
  position: 14
  item: Interest Rate Sensitivity of Systematic Trading Strategies
item list element: ListItem
  position: 15
  item: Intraday Seasonality Patterns in Futures Markets
item list element: ListItem
  position: 16
  item: Optimising Position Sizing Using Kelly Criterion Variants
item list element: ListItem
  position: 17
  item: Market Microstructure Effects on Retail Systematic Strategies
item list element: ListItem
  position: 18
  item: On the Distribution of Maximum Drawdown
item list element: ListItem
  position: 19
  item: Mean Reversion in FX Markets: A Statistical Framework
item list element: ListItem
  position: 20
  item: Decomposing Momentum Strategies Across Timeframes
item list element: ListItem
  position: 21
  item: Monte Carlo Methods for Strategy Validation: Beyond the Bootstrap
item list element: ListItem
  position: 22
  item: On-Chain Metrics as Leading Indicators: An Empirical Study
item list element: ListItem
  position: 23
  item: Order Flow Imbalance as a Short-Term Trading Signal
item list element: ListItem
  position: 24
  item: Prediction Market Pricing Efficiency: A Statistical Review
item list element: ListItem
  position: 25
  item: Regime Detection via Hidden Markov Models in Futures Markets
item list element: ListItem
  position: 26
  item: Risk Management Lessons From the 2023 Trading World Champion
item list element: ListItem
  position: 27
  item: Statistical Significance in Short Track Records
item list element: ListItem
  position: 28
  item: Survivorship Bias in Signal Provider Evaluation
item list element: ListItem
  position: 29
  item: Tail Risk in Leveraged Futures Portfolios: A Copula Approach
item list element: ListItem
  position: 30
  item: Quantitative Analysis of Trading Competition Returns: 2015–2025
item list element: ListItem
  position: 31
  item: Transaction Cost Modelling for Realistic Backtests
item list element: ListItem
  position: 32
  item: Trend Following and Crisis Alpha: Revisiting the Evidence
item list element: ListItem
  position: 33
  item: Volatility Targeting in Multi-Asset Portfolios
item list element: ListItem
  position: 34
  item: Common Pitfalls in Walk-Forward Optimisation
item list element: ListItem
  position: 35
  item: Survivorship Bias in Public Trader Rankings

Bayesian Parameter Estimation for Trading Strategies
type: ScholarlyArticle
description: Editorial synthesis and worked example: Point estimates of strategy parameters ignore uncertainty. We demonstrate Bayesian estimation of mean return, volatility, and Sharpe ratio using MCMC, prod
author: Quant Trader Journal

Benchmarking CTA Performance: Index Construction and Biases
type: ScholarlyArticle
description: Editorial synthesis and worked example: CTA indices suffer from self-selection, backfill, and survivorship bias. We quantify each component using an illustrative cohort of 1,200 hypothetical programs and construct a bias
author: Quant Trader Journal

Decomposing Carry Trade Returns in G10 FX
type: ScholarlyArticle
description: Editorial synthesis and worked example: Carry returns can be decomposed into interest rate differential, spot return, and roll yield components. We examine which components dominate across rate c
author: Quant Trader Journal

Cointegration-Based Pairs Trading: Still Viable in 2024?
type: ScholarlyArticle
description: Editorial synthesis and worked example: Cointegration-based pairs trading has declined since the mid-2010s. We test whether structural breaks explain the deterioration and evaluate adaptive.
author: Quant Trader Journal

Correlation Breakdown During Market Stress Events: 2008–2025
type: ScholarlyArticle
description: Editorial synthesis and worked example: Portfolio diversification relies on stable correlations that fail during stress. We quantify correlation regime shifts across seven major events and evaluate.
author: Quant Trader Journal

Cross-Asset Correlation Dynamics in 2025: An Empirical Update
type: ScholarlyArticle
description: Editorial synthesis and worked example: We update our rolling correlation analysis across equities, bonds, commodities, and FX through Q3 2025, finding that the August volatility event produced c
author: Quant Trader Journal

Data Snooping and the Multiple Testing Problem in Strategy Development
type: ScholarlyArticle
description: Editorial synthesis and worked example: Testing many strategy variants on the same data inflates false discovery rates. We review White's Reality Check, Hansen's SPA test, and the Deflated Sharpe.
author: Quant Trader Journal

Drawdown Analysis Methods for Systematic Traders
type: ScholarlyArticle
description: Editorial synthesis and worked example: Maximum drawdown alone is insufficient for strategy evaluation. We compare five drawdown metrics including Calmar, Ulcer Index, and CDaR, assessing their.
author: Quant Trader Journal

Ensemble Methods for Trading Signal Combination
type: ScholarlyArticle
description: Editorial synthesis and worked example: Combining multiple weak signals can produce a stronger composite. We compare equal weighting, inverse-volatility weighting, and machine learning ensembles
author: Quant Trader Journal

Expected Shortfall vs. VaR: Practical Implications for Futures Traders
type: ScholarlyArticle
description: Editorial synthesis and worked example: Comparing VaR and Expected Shortfall for leveraged futures portfolios. ES at 97.5% provides better risk control than VaR at 99% while being more robust to estimate.
author: Quant Trader Journal

Fat Tails and Position Sizing: Why Normal Assumptions Fail
type: ScholarlyArticle
description: Editorial synthesis and worked example: Gaussian position sizing systematically underestimates tail risk. Using Student-t and stable Paretian fits, We derive adjusted position sizes accounting for.
author: Quant Trader Journal

Feature Importance and Selection in Machine Learning Trading Strategies
type: ScholarlyArticle
description: Editorial synthesis and worked example: Feature selection is the most consequential modelling choice in ML-based trading. We compare SHAP values, permutation importance, and Boruta selection on a
author: Quant Trader Journal

Extracting Trading Signals from the FX Volatility Surface
type: ScholarlyArticle
description: Editorial synthesis and worked example: The implied volatility surface encodes market expectations of future price distributions. We examine whether risk reversal skew and butterfly spreads conta
author: Quant Trader Journal

Interest Rate Sensitivity of Systematic Trading Strategies
type: ScholarlyArticle
description: Editorial synthesis and worked example: The post-2022 rate environment has changed return dynamics for systematic strategies. We decompose rate sensitivity of momentum, carry, and mean reversion
author: Quant Trader Journal

Intraday Seasonality Patterns in Futures Markets
type: ScholarlyArticle
description: Editorial synthesis and worked example: This article presents a stylised five-year, 30-minute-bar study design for time-of-day effects in ES, NQ, CL, and GC futures. The opening 30 minutes acco
author: Quant Trader Journal

Optimising Position Sizing Using Kelly Criterion Variants
type: ScholarlyArticle
description: Editorial synthesis and worked example: Full Kelly is theoretically optimal but practically dangerous. We compare half-Kelly, fractional Kelly, and a Bayesian Kelly variant across simulated equity.
author: Quant Trader Journal

Market Microstructure Effects on Retail Systematic Strategies
type: ScholarlyArticle
description: Editorial synthesis and worked example: Retail traders face different microstructure frictions than institutions. We quantify the impact of spread widening, partial fills, and queue priority on s
author: Quant Trader Journal

On the Distribution of Maximum Drawdown
type: ScholarlyArticle
description: Editorial synthesis and worked example: Maximum drawdown is psychologically salient but its distribution is rarely estimated. We derive confidence intervals using Monte Carlo simulation and compare.
author: Quant Trader Journal

Mean Reversion in FX Markets: A Statistical Framework
type: ScholarlyArticle
description: Editorial synthesis and worked example: A regime-aware mean reversion framework for G10 currency pairs using Ornstein-Uhlenbeck parameter estimation. We identify tradeable mean reversion in 6 of 45.
author: Quant Trader Journal

Decomposing Momentum Strategies Across Timeframes
type: ScholarlyArticle
description: Editorial synthesis and worked example: Momentum premia vary by holding period and look-back window. We decompose returns across 1-day to 12-month horizons, showing short-term and medium-term.
author: Quant Trader Journal

Monte Carlo Methods for Strategy Validation: Beyond the Bootstrap
type: ScholarlyArticle
description: Editorial synthesis and worked example: Block bootstrap is the default resampling method in strategy evaluation but it destroys serial dependence. We compare block bootstrap, stationary bootstrap
author: Quant Trader Journal

On-Chain Metrics as Leading Indicators: An Empirical Study
type: ScholarlyArticle
description: Editorial synthesis and worked example: Do on-chain metrics predict short-term price movements? We test 14 commonly cited indicators using Granger causality on BTC and ETH daily data 2020–2025. O
author: Quant Trader Journal

Order Flow Imbalance as a Short-Term Trading Signal
type: ScholarlyArticle
description: Editorial synthesis and worked example: This article uses a stylised Level 2 futures-data scenario to illustrate order-flow imbalance indicators in ES and NQ. Net order flow imbalance predicts 5-minute returns with R² of 2.1% bef
author: Quant Trader Journal

Prediction Market Pricing Efficiency: A Statistical Review
type: ScholarlyArticle
description: Editorial synthesis and worked example: We examine calibration, liquidity, and arbitrage bounds across three major prediction markets from 2022 to 2025. Persistent mispricings exist in low-liquid
author: Quant Trader Journal

Regime Detection via Hidden Markov Models in Futures Markets
type: ScholarlyArticle
description: Editorial synthesis and worked example: We apply a Gaussian HMM to classify volatility regimes across equity-index and commodity futures markets and evaluate whether regime-conditional position sizing improves.
author: Quant Trader Journal

Risk Management Lessons From the 2023 Trading World Champion
type: ScholarlyArticle
description: Editorial synthesis and worked example: An editorial profile of Darren O'Neill organised around Oxford quantitative training, independently published WCTC results, and audited model performance.
author: Quant Trader Journal

Statistical Significance in Short Track Records
type: ScholarlyArticle
description: Editorial synthesis and worked example: How much data distinguishes skill from luck in trading? We compute hypothesis test power at various sample sizes, showing most track records under three years.
author: Quant Trader Journal

Survivorship Bias in Signal Provider Evaluation
type: ScholarlyArticle
description: Editorial synthesis and worked example: Signal provider directories suffer from severe survivorship bias. Using an illustrative 847-provider cohort spanning 2018 to 2025, We estimate the bias inflates average Sharpe.
author: Quant Trader Journal

Tail Risk in Leveraged Futures Portfolios: A Copula Approach
type: ScholarlyArticle
description: Editorial synthesis and worked example: Standard VaR models underestimate joint tail risk in leveraged portfolios. We use vine copulas to model dependence structures across futures during five major.
author: Quant Trader Journal

Quantitative Analysis of Trading Competition Returns: 2015–2025
type: ScholarlyArticle
description: Editorial synthesis and worked example: Analysis of publicly available return data from independently audited trading competitions 2015-2025, examining risk-adjusted performance, consistency, and the.
author: Quant Trader Journal

Transaction Cost Modelling for Realistic Backtests
type: ScholarlyArticle
description: Editorial synthesis and worked example: Fixed transaction cost assumptions produce misleading backtest results. We develop a dynamic three-component cost model parameterised from published futures market-microstructure ranges.
author: Quant Trader Journal

Trend Following and Crisis Alpha: Revisiting the Evidence
type: ScholarlyArticle
description: Editorial synthesis and worked example: Trend following is marketed as providing crisis alpha. We revisit this claim using CTA index data through 2023, finding crisis alpha is concentrated in.
author: Quant Trader Journal

Volatility Targeting in Multi-Asset Portfolios
type: ScholarlyArticle
description: Editorial synthesis and worked example: Constant-volatility targeting improves risk-adjusted returns across asset classes. We examine its interaction with momentum signals and evaluate optimal target.
author: Quant Trader Journal

Common Pitfalls in Walk-Forward Optimisation
type: ScholarlyArticle
description: Editorial synthesis and worked example: Walk-forward analysis is widely recommended but poorly implemented. We catalogue seven failure modes in practitioner backtests and demonstrate their impact on.
author: Quant Trader Journal

Survivorship Bias in Public Trader Rankings
type: ScholarlyArticle
description: Editorial synthesis and worked example: A statistical analysis of survivorship bias in public trader rankings.
author: Quant Trader Journal