Quantcore Labs

Quantitative research

A systematic approach to markets.

We research distinct systematic trading ideas, combine them into one risk-budgeted portfolio, and evaluate the result through risk analysis and paper trading.

Our investment approach
Backtest, 2020 to 2026, net of modelled costs: portfolio value and drawdownPortfolio value of the research backtest, rebased to 100 at its start on 2020-02-18 and ending at 159 on 2026-10-08, drawn for every trading session, with a strip beneath showing the drawdown from the previous peak; the deepest drawdown is 4.6 percent in 2020-03. Below: a histogram of the 81 calendar-month returns, and the correlation matrix of the daily profit and loss of the five strategy sleeves (Thematic, Reversal, Rates, Commodity, Trend), all between -0.00 and +0.21. Backtest on historical data, net of modelled transaction costs; not an account record.202120222023202420252026Portfolio value · rebased to 100Drawdown from peak100159−4.6%Monthly returns · 81 months−4%0+4%Sleeve correlation · daily P&LThTh.21.02.08.06RvRv.21−.00.02.17RaRa.02−.00.10.11CmCm.08.02.10.15TrTr.06.17.11.15 Backtest, 2020 to 2026, net of modelled costs: portfolio value and drawdownPortfolio value of the research backtest, rebased to 100 at its start on 2020-02-18 and ending at 159 on 2026-10-08, drawn for every trading session, with a strip beneath showing the drawdown from the previous peak; the deepest drawdown is 4.6 percent in 2020-03. Backtest on historical data, net of modelled transaction costs; not an account record.202120222023202420252026Portfolio value · rebased to 100Drawdown from peak100159−4.6% Monthly returns of the backtest, 81 calendar monthsHistogram of the 81 calendar-month returns of the research backtest in bins of 0.38 percentage points between -4 and +4 percent; the worst month is -1.8 percent. Backtest on historical data, net of modelled transaction costs; not an account record.Monthly returns · 81 months−4%0+4%
Correlation of the daily profit and loss of the five strategy sleevesFive-by-five correlation matrix of the gross daily profit and loss of the sleeves Thematic, Reversal, Rates, Commodity, Trend in the research backtest; off-diagonal coefficients lie between -0.00 and +0.21. The key beside the matrix spells out the sleeve abbreviations.Sleeve correlation · daily P&LThTh.21.02.08.06RvRv.21−.00.02.17RaRa.02−.00.10.11CmCm.08.02.10.15TrTr.06.17.11.15
Th
Thematic
Rv
Reversal
Ra
Rates
Cm
Commodity
Tr
Trend
BACKTEST2020–2026 · multi-strategy ETF portfolio · net of modelled costsMethodology

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