mr.piron.Visit the research desk
MR. PIRON / THE ENGINEERING ATLAS

Know the method.
Engineer the edge.

A technical field guide to systematic trading. Compare objectives, equations, data dependencies, execution architecture, and the failure modes that separate a research prototype from a trading system.

10 STRATEGY FAMILIESPRIMARY-SOURCE REFERENCESRESEARCH → EXECUTION → VALIDATION
10 / 10 ARCHITECTURES
SYSTEMATIC TRENDHours to months
/01

Multi-horizon momentum

Combine independent trend horizons, size positions by estimated volatility, and constrain correlated exposure. A transparent research baseline for liquid directional markets.

FORMULATION / RESEARCH OBJECTIVEf(x; θ)
si,t=∑ℓaℓtanh⁡(∑k=1Lℓri,t−kσ^i,tLℓ),wi,t∝si,tmax⁡(σ^i,t,σfloor)s_{i,t}=\sum_{\ell}a_\ell\tanh\left(\frac{\sum_{k=1}^{L_\ell}r_{i,t-k}}{\hat\sigma_{i,t}\sqrt{L_\ell}}\right),\quad w_{i,t}\propto\frac{s_{i,t}}{\max(\hat\sigma_{i,t},\sigma_{\mathrm{floor}})}

Evaluate net portfolio utility across forward periods, subject to gross exposure, volatility and turnover limits; the lookbacks are research parameters, not universal constants.

01Signal inputs

  • Lagged total or excess returns
  • Rolling volatility and covariance
  • Contract roll and financing estimates

02Data specification

  • Point-in-time instruments and corporate actions
  • Separate signal-adjusted series from tradable futures prices

03Execution & infrastructure

  • Participation caps and spread-aware sizing
  • Contract, lot and exchange-calendar handling

04Validation protocol

  • Compare a single-horizon and equal-risk baseline
  • Stress sharp reversals, doubled costs and volatility-estimation lag

05Known failure modes

  • Whipsaw in range-bound markets
  • Hidden concentrated macro bets
  • Unrealistic roll fills or leverage after calm periods

IMPLEMENTATION STACK

PythonvectorbtLEANIBKR

PRIMARY SOURCES / FURTHER READING

[1]Moskowitz, Ooi & Pedersen · Time Series Momentum[2]QuantConnect LEAN · Slippage models

Define the hypothesis, establish the baseline, and measure the complete system. A formulation is the beginning of a research program.