A volatility-burst backtest can hide the drawdown between month-ends.
Our daily-data reconstruction exposes drawdown and execution-timing risks.
Study: A Profitable Strategy for Short-Term Traders
Risk Management
Research on drawdowns, leverage, model uncertainty, and the limits of historical risk estimates.
Curated by Signal & Evidence. Read our research approach for how we distinguish author findings from house tests.
House adaptation: execution timing unresolved
A backtest spends information every time we change the question.
The Axiomatic Trader connects model complexity, research search and position sizing through explicit assumptions.
Study: The Axiomatic Trader: Latent Regularity, Information Budgets, and the Canonical Form of a Quantitative Investment System
A steadier index tracker can still be a worse tracker.
Entropy regularization reduces some portfolio churn. The study’s tables show a trade-off, not universal superiority.
Study: An Entropic Factor Model for Robust Portfolio Replication
Leveraged ETF risk can arrive from the neighboring trade.
A feedback model finds a Korean transmission channel and U.S. nulls. Venue depth is part of the hypothesis.
Study: The Loop-Gain Matrix: Coupled Rebalancing Feedback and the Blind Spots of Scalar Stability Monitoring
KellyBoost gets the objective right. That can still mean betting too much.
A direct route from features to portfolio weights exposes the cost of estimation error.
Study: KellyBoost: Growth-Optimal Portfolio Construction with Gradient-Boosted Trees