Strategies
Implementation guides for systematic trading strategies — fit ranges, failure modes, and the math behind each.
- Strategy·Directional
Momentum: Cross-Sectional vs Time-Series
Momentum strategies buy what's been winning and sell what's been losing. Two distinct implementations — cross-sectional and time-series — with different return drivers.
·6m - Strategy·Volatility
Volatility Arbitrage: VIX Term Structure Trades
Vol-arb harvests the volatility risk premium and the term-structure roll. The trade looks free for years and then loses two years of gains in a week.
·6m - Strategy·Cross-Asset
Carry Strategies: FX, Futures, Equities
Carry strategies earn the yield differential between long and short legs. The trade pays slowly and consistently, then occasionally gives back six months in a week.
·6m - Strategy·Directional
Trend Following: A Systematic Implementation Guide
Mechanics, fit ranges, and failure modes for trend-following strategies — the oldest profitable systematic style and the hardest to hold psychologically.
·7m - Strategy·Directional
Breakout Strategies: The Role of Volatility Filters
Breakout systems trade the resolution of consolidation patterns. The signal is straightforward; the volatility filter is what separates profitable breakouts from chop.
·6m - Strategy·Stat-Arb
Statistical Arbitrage: Signal Extraction & Risk Overlays
Stat-arb extracts cross-sectional alpha from a basket of mean-reverting relationships. The signals are usually weak; the risk overlays are what makes the portfolio investable.
·7m - Strategy·Stat-Arb
Pairs Trading: Cointegration, Half-Life, Exit Triggers
Pairs trading bets that two cointegrated instruments will revert to their long-run relationship. The math is elegant; the operational discipline is where most pairs strategies fail.
·7m - Strategy·Microstructure
Market Making: Quote Skew, Inventory Risk, Capital Efficiency
Market making earns the bid-ask spread in exchange for inventory and adverse-selection risk. The job is not quoting — it's managing inventory and fading adverse selection.
·7m - Strategy·Stat-Arb
Mean Reversion: Implementation, Fit Ranges, Failure Modes
Mean-reversion strategies bet on temporary price dislocations correcting toward equilibrium. Cousin of trend-following — opposite assumptions, opposite regime fit.
·6m - Strategy·Volatility
Options-Selling Overlays: Strangles, Condors, Risk Discipline
Options-selling overlays harvest the volatility risk premium with bounded position sizes and structured loss management. The discipline is the strategy.
·6m