Real, usable edge for systematic traders — strategies, backtesting and code, no fluff
30 articles
Securities lending is the market that supplies shares to short sellers. The fee you pay to borrow (or the rebate you earn on cash collateral) is a firstclass return driver for any strategy with shorts — [pairs](/post.php?slug=pairstradingcryptostocks), [stat arb](/post.php?slug=statisticalarbitrageexplained), [convert…
Read →Quantamental investing blends quantitative signals with fundamental or discretionary judgment — neither pure systematic nor pure stockpicking. Done well, it uses models for breadth and humans for sparse, highvalue information. Done poorly, it is discretionary trading with a quant marketing…
Read →Yieldcurve bootstrapping infers discount factors or zero rates from liquid instruments so each instrument reprices to its market quote. It is not simply plotting quoted yields. A usable curve requires correct cashflow conventions, an explicit interpolation space, and separate discounting…
Read →Welcome to the quantitative trading handbook — a structured, endtoend reference for systematic traders. This is the table of contents for everything on the site: no retail indicator folklore, no getrich hype — just the statistics, models, execution and risk…
Read →Duration is the firstorder sensitivity of a bond price to yield; convexity is the secondorder correction that makes the approximation useful beyond infinitesimal moves. They are not merely reporting fields. In a curvebased system they are local derivatives of a…
Read →A vanilla interestrate swap exchanges a fixed cashflow stream for a floatingrate stream, with value determined by discount factors and forward rates rather than a single “swap yield.” The valuation looks elementary only after curve construction, daycount conventions, payment lags,…
Read →Quantitative trading is the discipline of expressing a view on markets as a falsifiable statistical hypothesis, estimating its parameters on data, and deploying it through code under explicit risk constraints. If you are arriving from software engineering, statistics, or the…
Read →Futures trading is the systematic use of standardized, exchangecleared contracts to take leveraged exposure to an asset for delivery or cash settlement at a future date. For quants, futures are the preferred vehicle for most directional and macro exposure: they…
Read →Position sizing and risk management are the components of a trading system that determine the shape of your return distribution, while the signal only determines its drift. This distinction is the entire game. A positiveexpectancy signal sized incorrectly is a…
Read →Model risk is the risk of loss from a model that is wrong, misused, unavailable, or applied outside its design domain. A quant desk has more models than its alpha forecast: risk estimators, transactioncost curves, borrow assumptions, valuation adjustments, dataquality…
Read →Regulatory capital is not a portfolio risk limit, but it changes the economics of every trading position. A bank must hold lossabsorbing capital against market risk, credit valuation adjustment, counterparty exposure, and other risks. The trading book contains instruments held…
Read →Trading psychology, for a systematic trader, is not a motivational topic — it is a controlsystems problem. The objective is to remove the human, with all of their statedependent biases, from the path between a prevalidated rule and its execution,…
Read →Risk of ruin is the probability that an account falls below a floor from which it cannot recover — zero, a broker minimum, or a drawdown deep enough that you stop. It is the binding constraint on every strategy, because…
Read →Perpetual futures, or perpetual swaps, are derivatives with no scheduled expiry. Their practical innovation is a funding mechanism that transfers value between longs and shorts to keep the contract near an underlying index. For a quant, the crucial point is…
Read →The math for quant trading is narrower and more practical than the intimidating reputation suggests. You do not need to be a research mathematician; you need a working command of a specific toolkit and, above all, the statistical judgment to…
Read →Becoming a quant means building a stack of overlapping skills — mathematics, statistics, programming, and genuine market knowledge — and proving you can apply them to real data without fooling yourself. The path is demanding but unusually open: it rewards…
Read →The quant research workflow is the disciplined pipeline that turns a vague market intuition into a live, monitored, positionsized strategy — and, eventually, retires it when its edge decays. The single most important thing the workflow buys you is protection…
Read →Short selling is the sale of a borrowed asset to profit from a price decline, and its mechanics are the reason most marketneutral alpha is harder to capture than it looks on paper. Shorting is not the mirror image of…
Read →Leverage is borrowed exposure and margin is the collateral that backs it. The reason leverage deserves rigorous treatment rather than cautiontape platitudes is a specific mathematical fact: leverage scales expected return and volatility linearly, but it scales the probability of…
Read →Key rate duration (KRD) measures a bond or portfolio’s price sensitivity to a localized shift at a specified curve maturity while holding other key points fixed under a defined interpolation rule. It replaces the false precision of one parallelduration number…
Read →A mortgagebacked security (MBS) passes through principal and interest from loans whose repayment timing is controlled partly by borrowers, making its cash flows an interestratedependent option portfolio. Quantitative MBS work therefore combines loan amortization, behavioral prepayment modelling, pathwise interestrate valuation,…
Read →An overnight index swap is best understood as a priced package of cashflow conventions and risk factors, not as a single market quote. The headline level is useful for communication, but a quantitative implementation must reproduce contractual cash flows, identify…
Read →The SOFR transition is best understood as a priced package of cashflow conventions and risk factors, not as a single market quote. The headline level is useful for communication, but a quantitative implementation must reproduce contractual cash flows, identify the…
Read →An ETF has two linked markets. Investors trade ETF shares in the secondary market, while authorized participants (APs) can exchange large blocks of shares for a published basket in the primary market. That creation and redemption option is the mechanism…
Read →Shortterm interestrate (STIR) futures express expectations for a short reference rate over a future accrual period. Their familiar quotation convention is: futures price = 100 implied annualized rate Thus a price increase means a lower implied rate. This inverse relationship…
Read →Securities Financing Transactions is a practical quant topic: specify it, estimate it, cost it, and only then allocate risk. What follows is a nofluff working note aimed at systematic researchers who need something they can implement and falsify. Why it…
Read →€STR and Euro RFR Markets is a practical quant topic: specify it, estimate it, cost it, and only then allocate risk. What follows is a nofluff working note aimed at systematic researchers who need something they can implement and falsify.…
Read →SONIA and SONIA Futures is a practical quant topic: specify it, estimate it, cost it, and only then allocate risk. What follows is a nofluff working note aimed at systematic researchers who need something they can implement and falsify. Why…
Read →Fed Funds Futures Pricing is a practical quant topic: specify it, estimate it, cost it, and only then allocate risk. What follows is a nofluff working note aimed at systematic researchers who need something they can implement and falsify. Why…
Read →Constant Maturity Swaps Deep Dive is a practical quant topic: specify it, estimate it, cost it, and only then allocate risk. What follows is a nofluff working note aimed at systematic researchers who need something they can implement and falsify.…
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