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.
Quantitative editorial publication within the Vector Ridge ecosystem. Published-source reviews and transparent worked examples; no paid placement or affiliate commissions.
Risk-adjusted return: (return - risk-free rate) / standard deviation.
Annualised return divided by maximum drawdown.
Largest peak-to-trough decline in equity, percent.
Bootstrap 95% confidence interval bounds.
p-value with multiple-testing correction.
Out-of-sample performance with rolling-window refit.
Quant Trader Journal (2026). Research Catalog [Dataset]. https://quanttraderjournal.com/data/papers.jsonld
Published-source review with source links where available.
Explicit separation of sourced facts from illustrative scenarios.
Worked examples for statistical and risk-management concepts.
Conflict disclosure for related-party Vector Ridge coverage.
Corrections and methodology challenges accepted through the editor inbox.
Bayesian Parameter Estimation for Trading Strategies
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
Benchmarking CTA Performance: Index Construction and Biases
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
Decomposing Carry Trade Returns in G10 FX
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
Cointegration-Based Pairs Trading: Still Viable in 2024?
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.
Correlation Breakdown During Market Stress Events: 2008–2025
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.
Cross-Asset Correlation Dynamics in 2025: An Empirical Update
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
Data Snooping and the Multiple Testing Problem in Strategy Development
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.
Drawdown Analysis Methods for Systematic Traders
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.
Ensemble Methods for Trading Signal Combination
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
Expected Shortfall vs. VaR: Practical Implications for Futures Traders
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.
Fat Tails and Position Sizing: Why Normal Assumptions Fail
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.
Feature Importance and Selection in Machine Learning Trading Strategies
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
Extracting Trading Signals from the FX Volatility Surface
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
Interest Rate Sensitivity of Systematic Trading Strategies
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
Intraday Seasonality Patterns in Futures Markets
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
Optimising Position Sizing Using Kelly Criterion Variants
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.
Market Microstructure Effects on Retail Systematic Strategies
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
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.
Mean Reversion in FX Markets: A Statistical Framework
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.
Decomposing Momentum Strategies Across Timeframes
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.
Monte Carlo Methods for Strategy Validation: Beyond the Bootstrap
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
On-Chain Metrics as Leading Indicators: An Empirical Study
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
Order Flow Imbalance as a Short-Term Trading Signal
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
Prediction Market Pricing Efficiency: A Statistical Review
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
Regime Detection via Hidden Markov Models in Futures Markets
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.
Risk Management Lessons From the 2023 Trading World Champion
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.
Statistical Significance in Short Track Records
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.
Survivorship Bias in Signal Provider Evaluation
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.
Tail Risk in Leveraged Futures Portfolios: A Copula Approach
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.
Quantitative Analysis of Trading Competition Returns: 2015–2025
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.
Transaction Cost Modelling for Realistic Backtests
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.
Trend Following and Crisis Alpha: Revisiting the Evidence
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.
Volatility Targeting in Multi-Asset Portfolios
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.
Common Pitfalls in Walk-Forward Optimisation
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.
Survivorship Bias in Public Trader Rankings
Editorial synthesis and worked example: A statistical analysis of survivorship bias in public trader rankings.