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Does Short-Term Mean Reversion Work Across Asset Classes?
Testing a simple mean-reversion signal across equities, bonds, currencies, commodities, real estate, and Bitcoin
Aug 27
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Beyond Volatility Scaling: Does “Good” and “Bad” Volatility Matter?
Testing whether separating upside and downside volatility can improve risk-adjusted returns across major asset classes
Aug 16
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Revisiting Intraday Momentum
Testing a widely cited strategy, extending the sample, and exploring when the edge is strongest.
Aug 6
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Shorting Leveraged ETFs: A Free Lunch or Just an Expensive One?
Testing the Volatility-Decay Trade and What Survives Real-World Costs
Jul 26
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6
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Bitcoin's Fading Diversification Benefit
Rising equity exposure, weaker downside protection, and shrinking portfolio benefits
Jul 13
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Volatility Indicators for Predicting S&P 500 Drawdowns
Adding volatility indicators to a drawdown forecasting framework
Jul 6
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Buying the Dip Isn't Free
Why systematically buying market declines rarely improves risk-adjusted returns
Jun 25
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Is There Alpha in the COT Report?
Evidence from speculative positioning in commodity futures
Jun 12
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A Simpler Way to Rotate Across Sectors
Can market history improve sector selection?
Jun 1
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Timing VX Futures with the Front-End VIX Curve
Combining Bond Volatility and VIX Term-Structure Signals
May 25
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What the Front End of the VIX Curve Knows
The Predictive Information Embedded in VIX Inversion
May 18
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Don't Be Too Smart About History
Why filtering for “similar” market regimes can make forecasts less reliable
May 9
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