Mission
I share research, methods and code from my journey in systematic trading.
From Stuttgart, Germany, this blog dives into systematic futures trading as a research-driven process. It covers everything from idea generation to the realities of implementation—to build strategies that survive outside of backtests.
Latest Articles
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The Messy Business of Building a Futures Security Master
Before a systematic trading system buys or sells, it needs to know what it is trading and which price data to trust. These details live in a security master: a catalogue of the markets and contracts the system uses. Mine is a spreadsheet. Adding a market takes one row. Getting… Read more.
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Strategy Recalibration Breakout
This report evaluates the Breakout strategy through signal diagnostics, parameter selection, robustness testing, and portfolio integration. It examines whether historical performance holds up under recent conditions and whether the strategy adds value to the portfolio. Despite strong results over the full sample, weaker recent performance and substantial overlap with existing… Read more.
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Crafting a Trading Strategy
Developing a systematic trading strategy rarely begins with a perfect idea. Instead, it is an iterative process of forming hypotheses, testing them, discarding what does not work, and refining what does. In this article, we develop a futures trading strategy from its underlying economic rationale through successive improvements, illustrating both… Read more.
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In Search of Diversification by Selecting Strategy Parameters
Diversification is one of the most important tools for a systematic trader. This article will dive into the diversification possibilities of one simple strategy via different parameters. The article will both discuss the theoretical foundations and apply these to a real-world strategy under realistic assumptions about commissions, spreads and roll… Read more.
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Systematic Cash Management for Futures Traders — Part I
This is the first article in a series about cash management for futures traders. This article lays the theoretical foundations needed to understand the topic in more detail and will introduce two systematic strategies for interest optimization and automatic margin management. Read more.
