Quantitative research, on mandate
I take on a small number of research mandates for funds, trading desks and professional traders. Clear scope, documented work, and the standards of an in-house research team.
What a mandate can cover
Strategy research
From a hypothesis to a tested, documented strategy, with the evidence that it is more than noise.
Backtest and robustness review
An independent review of an existing strategy: biases, overfitting, out-of-sample behaviour and the risks the backtest does not show.
Portfolio construction
Combining strategies into one book: sizing, allocation and risk limits that hold when one of them fails.
Research infrastructure
Python pipelines for data, features and backtests, built so the research can be repeated and audited.
How we work together
A first exchange to define the question, the data and the deliverables. You receive a price before any work starts.
Regular checkpoints during the mandate, so you see the results as they come, not only at the end.
Code, results and a written report your team can read, reproduce and build on.
Who you work with
- Author of Measuring the Reliability of Backtest Validation (SSRN)
- Previously in charge of research at a systematic crypto trading firm, with up to $1.5M of client capital traded live
- Master in Mathematical Engineering
Discuss a project
Write a few lines on the context, the objective and your timeline. I reply to every serious request.