Systematic trading research
Most patterns
are noise.
We look anyway.
Pandan Research searches a high-dimensional feature space for relationships that hold out of sample, then builds strategies from the few that survive. Four run in the book today. Several hundred did not make it out of the search.
How a session runs
Four stages, in order, every time.
Each stage hands the next a single typed output. A stage cannot skip, retry a different way, or be talked into an exception. Every strategy walks the same path independently.
Data
Prices, volume, corporate actions and calendar events, normalized to one timeline. Bad ticks are quarantined rather than smoothed away.
out → bar table
Signal
A short list of tested features produces one score per instrument, per strategy. Anything that survives only in-sample never reaches this stage.
out → score vector
Risk
Scores are netted across strategies, then converted to positions through volatility targeting and hard exposure caps. The sizer can always return zero.
out → target book
Orders
Limit orders staged against liquidity, with slippage measured against arrival price and written back into the record before the next session opens.
out → fills + costs
Method
Built to be doubted.
The firm assumes its own edge is small, decaying, and possibly imaginary. Everything below follows from that assumption.
Out-of-sample or nothing
Every strategy is fit on one period and judged on another it has never seen. Walk-forward results are the only ones reported, including the bad ones.
Costs modeled first
Commission, spread, borrow and realistic slippage are subtracted before a strategy is evaluated — not added to a curve that already looks good.
Uncorrelated by construction
Strategies are admitted on the strength of what they add to the book, not their own curve. A profitable strategy that duplicates an existing one is rejected.
Default limits
What the engine will not do.
Limits are set before a session opens and enforced in the sizer, not in a policy document. Changing one requires a new deployment and leaves a record.
| Maximum single position | 4.00% NAV |
|---|---|
| Maximum sector exposure | 20.00% NAV |
| Gross leverage ceiling | 1.00× |
| Daily loss halt | 1.50% NAV |
| Per-strategy risk budget | 25.00% of vol |
| Order types permitted | Limit only |
| Discretionary overrides | None |
Access
Currently in private testing.
Pandan Research is running paper and small live allocations while the execution layer is measured. Leave an address and you'll hear when the next group opens.
One email when access opens. Nothing else.