4.19 Using Ratios as Trading Signals
A ratio nets out the move two markets share and keeps only who is winning. Signal off it like a price to rotate between them, but watch for near-zero denominators and whipsaw on both legs.
Independent research on systematic & quantitative trading
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 →The ten pillars
Read in order. Each pillar walks you out of one trap with one new ability. The newest article is the worst place to begin.
- 1 The Scientific Trader Rebuild what you accept as evidence. Every rule becomes a hypothesis, every backtest an experiment you can falsify. 28
- 2 Indicator Engineering The input decides the ceiling. Build features with measurable properties that survive the tests. 82
- 3 Robust Systems Lab A strategy is not robust for surviving one friendly backtest. Here it survives hostile testing. 41
- 4 Market Structure Notes The same rule is edge on one instrument and noise on another. Read a market's personality before you deploy. 74
- 5 Microstructure Alpha The order-book layer. The same signal is worthless as taker flow and valuable as a maker improvement. 48
- 6 Portfolio Construction & System Death A real signal still loses if the size and correlations are wrong. Sizing is part of the signal. 55
- 7 Python Research Notebooks Stop taking results on faith. Re-run every claim on your own data and see whether it holds. 5
- 8 Physics, Geometry & Event-Driven Markets The frontier. Markets as event-driven nonlinear systems, not fixed-time price series. Read it last. 10
- 9 Prediction Market Arbitrage The cleanest money on Polymarket and Kalshi comes from prices that contradict each other, not prices that turn out wrong. 41
- 10 Cross-Sectional & Factor Investing Stop timing one asset. Rank the whole cross-section and let relative value, not direction, carry the return. 19
Latest articles
4.18 Crude Oil, Inflation, and FX
Crude is the price of energy and a leading inflation gauge. It runs inverse to bonds and the dollar and feeds FX through trade and rates. A supply shock fakes the read, so cross-check copper.
4.17 Copper as an Economic Activity Indicator
Copper is almost pure industrial demand, so it reads activity before the statistics do and leads bond yields. Use it to gate bonds and growth assets, but a mine strike fakes the signal.
4.16 Gold, Dollar, and Rates: A Practical Intermarket Map
Gold, the dollar, and rates form a closed triangle: rates up, dollar up, gold down. Pin two corners and the third follows. But gold tracks real yields and the triangle jams in a crisis.
4.15 Using Bonds to Filter Equity Signals
Stocks and bonds are two prices set by one rate. Gate long equity signals on the bond trend to strip out drawdown-heavy days, but check the rolling correlation first, since the sign inverts.
4.14 Why Cross-Asset Signals Beat Isolated Chart Reading
One chart is one noisy readout of the macro state. A second market sorts the same days into a better half and a worse half. The lift is small, real, and dies if costs exceed it.
4.13 Intermarket Analysis for System Traders
Markets are wired together by inflation, rates, and capital flows. Intermarket analysis turns a second market into a filter on the one you trade, through four repeatable rule templates.
4.12 Matching Strategy Families to Market Conditions
There is no best system, only systems matched to conditions. Two numbers decide: the efficiency ratio picks the family, volatility sets the size. Route to the right cell and gate as regimes drift.
4.11 Why Grid Systems Need Noise, Not Just Volatility
Grid traders watch volatility and blow up anyway. A grid needs noise, not range: volatility sets how far price travels, the efficiency ratio decides if it's round-trips or stranded losers.
4.10 Why Breakout Systems Need Low Noise Environments
A breakout rule is trivial; noise decides if a new high is an entry or a trap. Breakouts need continuation, which only low noise provides, so pick trend-quality markets and gate the entries.
4.9 The Difference Between Volatility Expansion and Directional Opportunity
Volatility expansion and directional opportunity look identical on an ATR chart but differ: motion can go somewhere or cancel out. Confirm with the efficiency ratio before trading.
4.8 Price Density: A Visual Way to Measure Market Choppiness
Box a window of price and see how much the candles fill. A trend leaves it empty; a chop paints it wall to wall. Price density is the efficiency ratio you can read by eye.