Research

📚 Empirical Trading Studies

Trading Research

Empirical academic research by Andrew Aziz and finance collaborators analyzing disciplined systematic strategies vs passive benchmarks.

Comparison of ORB day trading equity curve versus passive buy and hold QQQ and TQQQ
Why Day Trading Beats Passive Buy and Hold:
A comparison between the equity curve performance of the ORB day trading portfolio and the equity curve performance of passive buy and hold strategy in QQQ and TQQQ.
Can Day Trading Really Be Profitable paper cover

Can Day Trading Really Be Profitable?

Study of Opening Range Breakout strategy vs passive benchmarks showing sustainable long-term profits.

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VWAP The Holy Grail for Day Trading Systems paper cover

VWAP: The Holy Grail for Day Trading Systems

Analysis of VWAP‑based strategy performance on leveraged products from 2018–2023.

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Beat the Market Intraday Momentum for SPY paper cover

Beat the Market: Intraday Momentum for SPY

Quantitative results for an intraday momentum strategy on SPY with Sharpe ratios above 1.3.

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A Profitable Day Trading Strategy for U.S. Equity Market paper cover

A Profitable Day Trading Strategy for U.S. Equity Market

Stocks in Play ORB research showing net performance above 1,600% with high catalysts and volume.

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The Art of Financial Illusion paper cover

The Volatility Edge: VIX ETNs

Study on volatility strategies using VIX ETNs with low correlation to equities and disciplined execution.

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The Volatility Edge VIX ETNs paper cover

The Art of Financial Illusion

Investigation into how Martingale betting systems can mislead through statistical manipulation.

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