Research (ISM) — Eshanthsai Vanam

About ISM What the program is and how it works ISM Blog Ongoing progress, reflections, and insights Research Analysis Assessments of papers and professional interviews

Original Works A video course on building a systematic strategy Final Product The portfolio and tools the research produced

Topic

Conducting independent research to identify imbalance & institutional factors in market movement, leveraging orderflow mechanisms to create consistent systems via the ISM program.

Project Idea

Quantified edge visualization of orderflow focused system through scatterplots, seasonality analysis, and certain backtests. Long-term and short-term strategies are planned to be covered from a monthly frequency to an intraday frequency.

Original Works

Course and tutorial outlining the process of creating a systematic trading strategy. Walked through building a simple rebalancing system between SPY and TLT step-by-step, including edge identification, statistical testing, backtesting, refinement, etc.

Mechanisms

End-of-day rebalancing flows on leveraged ETFs
End-of-month institutional rebalancing flows between bonds and stocks
Intraday passive/limit order urgency for directional continuation
Intraday opposition absorption for directional continuation identified through tick-by-tick delta
Intraday irregular or spoofing passive/limit order directional reaction
Intraday mean-reversion to VWAP or HVN (High-Volume-Node)
AND MORE...