About
What's the investment philosophy?
These edges exist because of structural and behavioral inefficiencies. Market makers can't always warehouse risk during fast-moving events. Institutional flows create predictable pressure in specific windows. Retail herding creates mean-reversion opportunities at predictable times.
They persist because HFTs can't dominate every niche. Some edges require holding overnight or through events, time horizons that generally don't fit HFT business models. Others come from predictable institutional rebalancing windows that are too large for HFTs to fade but too small for them to bother with.
They combine because they're uncorrelated. A breakout strategy on equity indices has nothing to do with a mean-reversion strategy on gold during the London session.
Who am I?
Product engineer, 5 YoE, currently building stuff.
I traded gold, and index CFDs for four years before going systematic. TL;DR is I'm the bottleneck, my emotions, attention span, energy, etc.
The research stack has ran 150+ strategies through walk-forward analysis, bootstrap confidence intervals, and cost sensitivity checks. Most ideas die before they ever see real capital. Funded entirely with personal capital. (<$100k)
What's the strategy?
4 systematic strategies across gold, equities, and indices. The approaches range from breakout and momentum to mean-reversion and event-driven signals. All decisions are automated, no manual intervention required. Strategies run on daily and intraday timeframes.
How is risk managed?
Each strategy has fixed position sizing and portfolio-level exposure limits. No leverage. No concentration bets. Strategies are individually validated before deployment, and each one operates independently, a drawdown in one doesn't affect the others. Each strategy has kill-criterias that are reviewed weekly. A significant gap between anticipated and realised performance triggers a manual review. If a strategy fails, it gets tombstoned and removed from the book. The book continues with surviving components.
Why publish monthly numbers?
The internet is full of trading content where screenshots show absolute numbers and most discussion stops at the backtest. Publishing the live number every month regardless is a more honest approach. If a month is bad, the number is bad.
What are the capacity constraints?
This book is designed for sub-institutional scale. Most strategies operate on daily and intraday timeframes in relatively liquid markets, but some edge comes from niche setups that wouldn't survive at meaningful size. Above $5M AUM, market impact and slippage would degrade performance materially; above $10M, several strategies would become unviable.
Why is the drawdown so low?
Diversification across uncorrelated strategies. See the Methodology page for correlation data and per-strategy breakdown.
Lucas Guerin
lucasguerin.fr