Aligrithm is an independent research publication on systematic trading, quantitative research, market microstructure, and adaptive systems. Long-form essays, code notebooks, and architecture breakdowns across eight pillars, built for traders who care more about how markets behave than about hype.
More about the publication →Read in order. Each pillar walks you out of one trap with one new ability. The newest article is the worst place to begin.
Fat tails wreck Gaussian risk models and are also why trend following pays: the big moves the bell curve forbids cluster into trends and produce the rare giant winners that fund the small losses.
The COT index dies on currencies for a structural reason: futures are the whole hedging market in commodities but a rounding error in FX. No amount of tuning fixes an unrepresentative sample.
A raw commercial net of -60,000 contracts is meaningless until you scale it against its own range. The COT index maps it to 0-100, turning the hedgers' lead into a bounded contrarian signal.
Commercial hedgers sell into rallies and buy into selloffs because their business demands it, not their view. That makes their positioning a contrarian gauge that leads price by about two weeks.
The Commitment of Traders is a weekly census of who owns the futures market. Split it into hedgers, funds, and retail, watch the smart money, and remember the numbers reach you three weeks late.
A moving average cannot see a decade-long trend. For multi-year timing, fundamentals lead and price lags. Use them to set the course, and let faster price signals trim the sail.
A 90-day bill prices today's inflation; a 30-year bond prices a future it cannot see. Inflation signals grip the short end and lose their grip on the long end, where money supply rules.
When inflation is quiet, rates still follow growth. Money supply, consumer confidence, and unemployment duration read the economy's speed, strongest on the long end, and only when they agree.
Lenders demand a real return, so short rates track inflation. The Real-Rate Ratio turns that into one number, and a negative reading is the loaded spring that preceded the 1993 bond bear.
A vetted seasonal is still a weak 56/44 bias that dies to costs if traded alone. Its real job is to gate or tilt a system you trust, stacking with intermarket filters as one input among several.
Five days, two directions, endless mining. The S&P Monday bias decayed, coffee's Thursday is a guess, but silver's Thursday survives because it is really an economic-strength signal in disguise.
Most seasonals are curve-fits with good marketing. Four tests separate a real calendar edge from a coincidence: beat the drift, survive dropping the best year, beat the coin, and name the cause.