Memos
Newsletter that references and links into the strategy database. Subscribe via RSS below.
Memo 001: Momentum primer and database intro
A short intro to the Quant Memo database and why we start with momentum as a core theme.
2025-02-20Strategies: dual-momentum-equity, trend-following-futures, sector-rotationConcepts: momentum, vol-targeting, regime-detectionmomentumdatabaseintroMemo 002: Vol targeting and transaction costs
Why vol targeting matters and how transaction costs can kill a strategy if ignored.
2025-02-18Strategies: vol-targeting-multi, stat-arb-pairs, mean-reversion-russellConcepts: vol-targeting, transaction-costs, position-sizingvol-targetingcostsimplementationMemo 003: Regime detection and failure modes
How we think about regimes and why every strategy page includes a failure modes section.
2025-02-15Strategies: mean-reversion-russell, carry-fx, dual-momentum-equityConcepts: regime-detection, drawdown, overfittingregimeriskfailure-modesMemo 004: Backtest sanity checks
Simple sanity checks we run on every strategy backtest before adding to the database.
2025-02-12Strategies: dual-momentum-equity, trend-following-futures, cross-asset-momentumConcepts: walk-forward, overfitting, transaction-costsbacktestingoverfittingevaluationMemo 005: Carry and vol in practice
Combining carry (FX, commodities) with vol targeting and why we cap leverage.
2025-02-10Strategies: carry-fx, commodity-roll-yield, vol-targeting-multiConcepts: vol-targeting, position-sizing, drawdowncarryvolleverageMemo 006: Quant Memo vs Quant Native
Clear positioning: Quant Memo for knowledge, Quant Native for investing.
2025-02-08Strategies: dual-momentum-equity, vol-targeting-multiConcepts: vol-targeting, drawdownpositioningecosystemintro