Oct 22, 2026
•
10 min read
Oct 20, 2026
11 min read
Oct 16, 2026
12 min read
Oct 13, 2026
Oct 10, 2026
8 min read
Oct 8, 2026
Oct 6, 2026
9 min read
Oct 4, 2026
13 min read
Oct 2, 2026
Sep 28, 2026
4 min read
Research Desk
Oct 25, 2026
A 2023 Harvey paper fixes trend following's speed problem. I tested it on 100 years of US data and six markets, including the years since publication.
The latest news, articles, and resources, sent to your inbox weekly.
Trading
Sep 3, 2025
Algorithmic Trading Strategies
Sep 7, 2025
Sep 4, 2025
18 min read
Trillions of dollars rebalance between stocks and bonds on dates everyone knows. A 2025 NBER paper says it costs investors $16 billion a year. I built the trade, tested it since 2002, and checked whether it still works.
Classic momentum lost 36% in one month in 2009. Strip out the market, manage the risk, and the same idea earns a much higher Sharpe ratio with less than half the drawdown.
Most traders apply momentum to stocks. Apply it one level up, to the factors themselves, and a one-line rule kept working through the decade when the factor zoo stopped paying.
AlphaAgents has three LLM analysts argue until they agree. I rebuilt it, ran every possible portfolio as a control, and found a look-ahead bug in my own data.
A famous 2017 paper says cutting exposure after wild months boosts risk-adjusted returns. I tested it on 32 years of SPY: the crash protection is real, the extra return mostly isn't.
