This week’s edition revolves around the persistence of trend across markets and time horizons. From LLM-enhanced momentum selection to a twenty-year revisit of a classic trend-following study, with a stop in crypto markets along the way, the papers below explore how trends emerge, persist, and occasionally break violently. We also include two complementary readings: one on the economics of tail-risk hedging, and another on the growing evidence that even intraday momentum may be a structural feature of modern futures markets rather than a temporary anomaly.

Catching Crypto Trends: A Tactical Approach for Bitcoin and Altcoins

Zarattini, Pagani, Barbon

Trend-following has documented track records stretching back decades across traditional futures markets. In this paper, we ask whether that same edge carries over to crypto, applying the framework first to Bitcoin alone and then to a comprehensive, survivorship-bias-free dataset covering all cryptocurrencies traded since 2015.

ChatGPT in Systematic Investing: Enhancing Risk-Adjusted Returns with LLMs

Anic, Barbon, Seiz, Zarattini

If investors process and act upon news gradually, an LLM capable of interpreting it in real time should be able to identify which momentum candidates are most likely to outperform. The article tests exactly this idea: using ChatGPT to filter which stocks deserve a place in a cross-sectional momentum portfolio and which ones are riding stale news.

Does Trend-Following Still Work on Stocks?

Zarattini, Pagani, Wilcox

In 2005, Cole Wilcox and Eric Crittenden published an influential paper asking whether trend-following works on stocks. Twenty years later, using a survivorship-bias-free dataset of more than 66,000 simulated trades from 1950 to 2024, we revisit and update their framework. The finding that a tiny fraction of trades accounts for nearly all the profit has deep implications for position sizing, diversification, and the discipline required to let winners run.

Tail Risk Hedging: Contrasting Put and Trend Strategies

Ilmanen, Thapar, Tummala, Villalon — Journal of Systematic Investing, 2021

Buying puts feels like insurance: you pay a known premium and get a defined payout if the market crashes. Trend-following feels less precise, yet over long horizons it has delivered positive total returns while still providing meaningful crisis protection. The paper from AQR walks through the data and shows that the cumulative cost of rolling put protection can be large enough to overwhelm the payoff advantage in all but the sharpest drawdowns.

Hedging Demand and Market Intraday Momentum

Baltussen, Da, Lammers, Martens — Journal of Financial Economics, 2021

Before this paper, academia largely treated intraday momentum as a localized curiosity, something mostly confined to U.S. equities during a specific historical period. After this study, that interpretation became much harder to defend. By examining more than 60 futures markets across equities, bonds, commodities, and currencies over nearly five decades, the authors show that the effect appears consistently across asset classes, geographies, and time. When a pattern survives across such different market structures and environments, it starts looking less like a temporary anomaly and more like a structural feature of how modern financial markets absorb information and clear trading imbalances.

That’s it for this week. More next Tuesday!

If you’ve got a paper, a book or an interview you think we should read, reach out at info@concretumgroup.com.

Questions and comments are always welcome.

And if you find our research useful, share our page with a friend.

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This week’s pieces share a common thread: intraday trend trading, tested across different instruments and specifications. From a broad US equity universe to SPY and QQQ, three different angles on the same question: is there a systematic, repeatable edge hiding inside the trading day?

Plus two readings on the forces that drive intraday momentum and on the wisdom of letting the market speak for itself.

A Profitable Day Trading Strategy For The U.S. Equity Market

Zarattini, Barbon, Aziz

We test a 5-minute Opening Range Breakout strategy across more than 7,000 US stocks from 2016 to 2023. The key finding is that concentrating on “Stocks in Play” (the most active names on any given day) dramatically improves results.

Beat the Market: An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)

Zarattini, Aziz, Barbon

The paper applies an intraday momentum framework to SPY, one of the most liquid ETFs in the world. The premise is that demand and supply imbalances can produce exploitable trend dynamics even inside a single session, and even in an instrument that millions of participants are watching at the same time.

Can Day Trading Really Be Profitable?

Zarattini, Aziz

Between 2016 and 2023 the active day trading portfolio generated an annualized alpha of 33% net of commissions, while a passive investment in QQQ returned about 169% over the same period. The article explores what happens when you combine a tested intraday signal with leveraged ETFs like TQQQ, turning brokerage constraints into a design choice rather than a limitation.

Hedging Demand and Market Intraday Momentum

Baltussen, Da, Lammers, Martens — Journal of Financial Economics, 2021

One of the cleanest explanations of why intraday trends exist at all. When end users buy protection (puts, VIX calls, leveraged products), dealers end up short gamma and must hedge by trading in the direction of price moves: selling as the market falls, buying as it rises. The result is a mechanical amplification of intraday trends that has nothing to do with information and everything to do with the plumbing of modern markets.

Reminiscences of a Stock Operator

Jesse Livermore, via Edwin Lefèvre — 1923

Written over a century ago, the line still captures something essential for anyone building systematic strategies. The price is the only variable that does not argue with you. Opinions about where the market should be are plentiful; what separates a durable process from a guess is the willingness to let price, not conviction, have the final word.

That’s it for this week. More next Tuesday!

If you’ve got a paper, a book or an interview you think we should read, reach out at info@concretumgroup.com.

Questions and comments are always welcome.

And if you find our research useful, share our page with a friend.

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This week’s pieces span execution quality, the non-linear relationship between volatility and returns, and a century of industry trends that puts long-only trend-following to the test across nearly every market regime imaginable.

Plus two reminders, from David Harding and Paul Tudor Jones, on the dangers of thinking you know what comes next.

When Execution Delays Erode Short-Term Alpha

Concretum Research

A signal that is profitable at the close can lose most of its edge by the next morning’s open. In this article, we use a close-to-close benchmark to measure exactly how much alpha a short-term strategy surrenders when execution is delayed to the next session’s open. The gap between theoretical and realistic performance turns out to be large enough to turn a winning system into a marginal one. But why wait until the next day’s open? In this article we explore practical execution frameworks designed to preserve as much of the original edge as possible.

When Stock Volatility Becomes a Performance Drag

Concretum Research

We examine Russell 3000 stocks from 1990 to 2024 and find that the relationship between volatility and returns follows an inverted-U shape: returns rise with volatility up to a point, then fall. A finding that directly challenges the textbook assumption that more risk simply means more reward.

A Century of Profitable Industry Trends (Winner of Dow Award by CMT)

Zarattini, Antonacci

We draw on Kenneth French’s daily data for 48 US industry portfolios to test a long-only trend-following strategy across nearly a century of market history. The breadth of the dataset allows us to evaluate robustness through the Great Depression, multiple recessions, two World Wars, the dot-com bust, and the 2008 financial crisis, without fitting parameters to any specific regime.

Efficiently Inefficient

David Harding, interviewed by Lasse Heje Pedersen — 2015

Harding, founder of Winton Group, built one of the largest systematic funds in the world on the principle that price trends contain more useful information than any macro forecast. His point is not that views are wrong, but that a portfolio full of conviction-driven bets is a portfolio full of correlated opinions. Adding a strategy that simply follows price, without a thesis about where prices should go, introduces a genuinely different source of return.

Market Wizards

Paul Tudor Jones, interviewed by Jack Schwager — 1989

Paul Turdor made his name calling the 1987 crash, yet he points to winning streaks, not losing streaks, as the real danger. The mechanism is familiar to anyone who has traded long enough: a run of good results quietly inflates confidence, position sizes creep up, risk controls loosen, and the next drawdown arrives against a portfolio that is far more exposed than it should be. The lesson is that discipline matters most precisely when it feels least necessary.

That’s it for this week. More next Tuesday!

If you’ve got a paper, a book or an interview you think we should read, reach out at info@concretumgroup.com.

Questions and comments are always welcome.

And if you find our research useful, share our page with a friend.

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This week we revisit the role of luck in shaping trading leaderboards, explore volatility as a latent and often misunderstood dimension of markets, and bring in two complementary perspectives on discipline; what it means to stay consistent when outcomes are noisy and the market narrative becomes persuasive.

The Illusion of Exceptional Performance: How Randomness Can Create “Market Wizards”

Concretum Research

To test how far pure luck can go, we ran a Monte Carlo tournament: 1,000 simulated traders picking 10 stocks at random each year from the Russell 3000, with equal weights and annual rebalancing. The results are striking. The best trader each year posted an average return of 338%, and in three separate years the top performer crossed 1,000%. All of it from coin-flip decisions. The experiment does not prove that every star trader is lucky, but it shows how easily randomness alone can produce track records that look exceptional.

The Volatility You Can’t See

Concretum Research

Because volatility is never directly observed, only inferred through proxies built from prices and returns, every volatility figure carries the imprint of specific measurement choices made before any model enters the framework.

The New Market Wizards

Tom Basso, interviewed by Jack Schwager — 1992

Basso, known in Schwager’s classic as “Mr. Serenity”, built a career around removing emotion from the equation. The advice sounds deceptively simple, yet most traders fail precisely because they reverse the two sides: they cut winners short and let losers run. The difficulty is not intellectual; it is behavioral, and that is exactly where the edge lives for those who can stick with the process.

Thinking, Fast and Slow

Daniel Kahneman — 2011

Kahneman spent a career studying how humans systematically misjudge probability, risk, and their own competence. This line captures a particularly dangerous feedback loop for traders: bull markets reward activity indiscriminately, which means the signal that normally tells you to stop (losing money) is muted precisely when overconfidence is building. By the time the market turns, the lesson arrives all at once.

That’s it for this week. More next Tuesday!

If you’ve got a paper, a book or an interview you think we should read, reach out at info@concretumgroup.com.

Questions and comments are always welcome.

And if you find our research useful, share our page with a friend.

Share

This week we look at a subtle bias that can distort how you evaluate mean-reversion signals, compare three approaches to position sizing in trend-following, and explore seasonality patterns in Bitcoin intraday trading.

Opportunity-Set Bias in Mean-Reversion Trading Systems

Concretum Research

Mean-reversion signals tend to fire in clusters: many trades during stressed markets, very few during quiet ones. That time-varying opportunity set introduces a bias into performance metrics that most backtests ignore entirely. This article uses over 100,000 RSI(2) trades to show exactly how large that distortion can be.

Position Sizing in Trend-Following

Concretum Research

The same trend signal, applied to the same futures basket, can produce equity curves that differ by orders of magnitude depending on how you size the position. This article compares volatility targeting, volatility parity, and pyramiding across 40 futures markets since 1980, showing exactly where each approach shines and where it breaks down.

Seasonality in Bitcoin Intraday Trend Trading

Concretum Research

Bitcoin trades around the clock, but trend-following alpha is not evenly distributed across the week. This article documents what we call the "Monday Asia Open Effect": as Asian markets reopen, fresh liquidity and positioning flows create directional moves that intraday trend models can exploit. The pattern has become more pronounced since institutional players entered the crypto space in late 2020.

The Rule

Larry Hite — 2019

Hite built one of the first billion-dollar quant funds on this simple pair of rules. The tension between them is the whole game: you need exposure to capture returns, but you need survival to stay in the game long enough for those returns to compound. Every sizing decision you make sits somewhere between these two poles.

Trend following and the MCM system

An interview with Paul Mulvaney

Regime changes do not price in overnight. Mulvaney's whole system rests on that single observation: trends exist because adjustment takes time, and the discipline to stay in them is what separates a strategy from a guess.

That’s it for this week. More next Tuesday!

If you’ve got a paper, a book or an interview you think we should read, reach out at info@concretumgroup.com.

Questions and comments are always welcome.

And if you find our research useful, share our page with a friend.

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This week we go from operational filters in systematic strategies to the statistical tools that separate genuine edge from noise, with a stop on the short side of the intraday book.

Conditional Profitability of Intraday Shorts

Concretum Research

There is a structural headwind every short-side trader faces: equities drift upward over time, which means shorting opportunities are scarce and, more often than not, they live inside the intraday timeframe. The article explores the conditions under which the short book actually pays for itself.

Combining Quantitative and Discretionary Trading

Interview with Carlo Zarattini, founder of Concretum|Group

Systematic strategies are enhanced not by overriding their rules, but by layering in filters grounded in economic rationale: things that make intuitive sense before they are ever tested. In this interview, Carlo walks through the process.

How to Evaluate the Effectiveness of a Trading Strategy: p-Values and Bootstrapping Methods

Concretum Research

Two strategies with the same average daily return can sit on opposite sides of the significance line. Strategy A clears a 1% threshold; Strategy B does not. The difference is entirely in the variance of the returns, and this article walks through why that matters more than most traders think.

The Psychology of Money

Morgan Housel — 2020

On a chart, every drawdown is just a dip before the recovery. In real time, it is an open question with no guarantee attached. Housel captures the asymmetry that makes risk management so hard: hindsight turns fear into regret, and regret into overconfidence for the next cycle.

A Portfolio for All Seasons

Eric Crittenden ( Podcast, 2024)

Eric emphasizes the importance of simplicity when building robust trading frameworks. He notes that a reliable model only requires three core elements (an entry, an exit, and a risk budget) and warns that adding extra filters to artificially “improve” a backtest can severely undermine its real-world reliability.

That’s it for this week. More next Tuesday!

If you have a paper, a book or an interview you think we should read, reach out at info@concretumgroup.com.

Questions and comments are always welcome.

And if you find our research useful, share our page with a friend.

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Today, three articles from the world of intraday trading plus two voices on discipline, López de Prado and Linda Raschke.

Retail Investors Can Trade Like the Pros

In this article, we argue that market impact (not access to information or technology) is the dimension where retail traders hold a structural edge. Because retail order sizes are small enough to leave prices largely undisturbed, the cost of entering and exiting positions is fundamentally lower than what institutions face.

Automating Intraday Strategies: From Manual Complexity to Algorithmic Precision

The premise: short-term effects like intraday trend are real and harvestable, but only if the implementation moves at the same pace as the opportunity. The article walks through what that actually means when you sit down to build one.

Breaking the Rules of Intraday Trading

The standard rule of intraday trading is simple: enter the market in the morning, be flat by the close. We asked what happens if you don't and split a long-short trend strategy into its two sleeves to see whether carrying positions overnight helps or hurts each side. The answer turned out to be surprisingly asymmetric between the long and the short book, and it aligns with something the academic literature has been quietly documenting for years.

Advances in Financial Machine Learning

Marcos López de Prado — 2018

Every backtest hides a series of choices; the time window, the metrics highlighted, the moment to stop testing… and each of those choices quietly shapes the conclusion before a single statistical test is run. López de Prado's warning is that we do not just report the past selectively, we often do not even realise we are doing it.

Masterclass with Linda Raschke

An interview by

After four decades of success in trading futures markets, Linda's view of technical analysis is almost heretical: not a predictive tool, but a risk management framework that tells you where the market shouldn't go if your thesis is right. A small shift in framing that quietly defines how you size, where you stop, and why you stay in a trade.

That’s it for this week. More next Tuesday!

If you’ve got a paper, a book or an interview you think we should read, reach out at info@concretumgroup.com.

Questions and comments are always welcome.

And if you find our research useful, share our page with a friend.

Share

They train, study, and supplement their preparation with the right inputs at the right time.

The same applies to anyone who takes markets seriously: raw skill is not enough without a steady intake of ideas, frameworks, and the occasional reminder of what you already know but may be lost in a remote angle of your memory.

Concretum Pills serves as a weekly dose of valuable insight that can be beneficial for your trading preparation.

Each issue contains a handful of extracts from Concretum|Research (on topics ranging from intraday momentum and trend-following to volatility, position sizing, and behavioral traps), plus two readings from books, papers, or interviews we think are worth adding to your library.

There is no market commentary here, and no predictions about what happens next week.

Think of these pills as part of a long-term program: durable ideas that compound over time when taken with consistency.

Some issues will focus on a single theme; others will cut across topics.

The active ingredient is always the same: research that helps you face markets more consciously and trade more deliberately.

Directions for use: one issue every Tuesday, best taken with coffee and an open mind. For optimal results, click through to the full articles. Side effects may include a renewed urge to backtest.

If you have a paper, a book, or an interview you think is worth recommending, reach out at info@concretumgroup.com.

And if this supplement is working for you, recommend it to a fellow practitioner.

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