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Portfolio Strategy

CSRF

Walk-forward

Cross-Sectional Risk Factor

Rebalancing
Monthly
Universe
37 Futures
As of
...

The Strategy

CSRF (Cross-Sectional Risk Factor) is a systematic market-neutral strategy that trades a universe of 37 futures contracts. Each month it ranks the universe and holds a long-short book, buying the most attractive contracts and selling the least attractive.

The result is a market-neutral long-short portfolio that aims to profit from relative performance across markets rather than overall market direction. The strategy uses only micro and small contracts to keep capital requirements low.

Walk-Forward Test Active Starting June 3, 2026, this strategy is being tested with market data in a walk-forward framework. All historical data before this date represents backtested performance. The shaded region in the chart indicates the start of the walk-forward period.

How It Works

Every month, CSRF re-ranks its universe with a quantitative model and rebuilds the long-short book for the period ahead.

The model applies systematic risk controls at the position and portfolio level to limit losses. It is built to avoid look-ahead bias, so historical and live results stay comparable.

37
Signal Universe
Long / Short
Market-Neutral
Monthly
Rebalancing
$50K
Min. Account Size

Simulation Settings

Set your start date and initial capital to configure the model simulation. CSRF rebalances monthly across 37 micro futures. The backtest begins August 2019. Minimum capital: $50,000.

Model Performance

Drawdown

Peak-to-trough decline
Model Value
--
--
YTD Return
--
Volatility (6M Lookback)
--
Sharpe Ratio
--
Excess return basis

Current Positions

Long Positions

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Short Positions

--

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Next rebalance: --

Walk-Forward Performance

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--
CSRF Return
--
Days Live
--
Long Positions
--
Short Positions

Performance Metrics

Sortino Ratio
--
Downside risk-adjusted
Max Drawdown
--
Peak to trough
Calmar Ratio
--
Return / Max DD
VaR (95%)
--
Daily at risk
CAGR
--
Annualized return
Downside Dev
--
Downside risk
Skewness
--
Return distribution
Kurtosis
--
Tail risk
Avg Monthly
--
Mean return
Positive Months
--
Win rate (monthly)

Walk-Forward Test Status

Walk-forward testing started --

Monthly rebalancing (next: --)

--
days to rebalance

Account Sizing

Total Margin
--
Min Account (2x)
--
Safe Account (3x)
--
Total Positions
--

Strategy Health Monitor

Live drift detection and alpha decay tracking

Drift Detection

Detects structural shifts in performance

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Drift level 0%
0% 50% watch 80% warn 100% alert

Alpha Decay Monitor

Risk-adjusted return, 12 vs 36 months

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12M Sharpe
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36M Sharpe
--
12M Alpha
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Decay Slope
--

The left panel flags structural shifts in performance against expectations. The right panel compares recent risk-adjusted returns with the longer-run track record. A weakening trend points to a fading edge.

Statistical Validation

Before deployment, CSRF was validated with a battery of standard statistical robustness tests. All tests used the fixed production strategy without post-hoc parameter tuning.

Permutation Test passed
p < 0.01

500 shuffled ranking sequences tested. None matched the observed Sharpe ratio.

Bootstrap passed
--

5,000 bootstrap samples produce a 95% confidence interval for the Sharpe ratio entirely above zero.

Out-of-Sample passed
10/10 positive

Walk-forward validation across ten folds. All folds produced positive Sharpe ratios.

Noise Robustness passed
100% retained

Added noise across 100 seeds retains the full Sharpe ratio. Robust to small perturbations in the return stream.

Data Integrity verified
Verified

Inputs use only data available at signal time, so there is no look-ahead bias and backtested and live results stay comparable.

All tests conducted on the fixed production strategy. Past statistical performance does not guarantee future results.