The system
-0.083
Sharpe
- Total return
- -2.01%
- MaxDD
- -9.66%
Agentic Multi-Strategy Trading System
I built a multi-strategy US equities research system to test a narrow thesis: LLMs are useful in the creative research loop, but the money path should remain deterministic, replayable, and pitfall-aware. The system separates proposal and critique from execution, risk, and verification.
The final result is intentionally honest. In the 2013-2015 bull window, the system did not beat either benchmark on a risk-adjusted basis. What it demonstrates is a disciplined agentic workflow with gates that can say no, point-in-time data handling, and a zero-LLM deterministic path for portfolio construction, allocation, and PnL.
Locked OOS result
Annual walk-forward, 2013-2015
Equal-weight universe
0.879
Sharpe
- Total return
- 41.65%
- MaxDD
- -15.29%
Cap-weighted universe
1.012
Sharpe
- Total return
- 43.63%
- MaxDD
- -12.43%
The spread is the point: over this window, broad-market beta won. The system is lower-beta and includes market-neutral exposure, so the verification result reads as beta versus alpha rather than a victory lap.
Equity curve
The current image artifact is synced from the results directory. The final sync before deploy should regenerate this chart from the locked result bundle.
See the substrate
Architecture
Two-layer agentic design
LLMs research and critique candidates; deterministic code owns validation, portfolio construction, allocation, and PnL.
Results
Annual walk-forward verification
The locked 2013-2015 OOS result is shown against equal-weight and cap-weighted universe benchmarks.
Signals
Rejected creative candidates
SignalResearcher proposed six economically motivated variants. The pre-registered gates rejected all six.
Writeup
Guardrails and lessons
Correctness guardrails, agent-first communication, PIT discipline, and what the system demonstrates.
Policy population
as of 2012
| PM | 2006 | 2007 | 2008 | 2009 | 2010 | 2011 | 2012 | Mandate |
|---|---|---|---|---|---|---|---|---|
| long_only | ACTIVE | ACTIVE | ACTIVE | ACTIVE | ACTIVE | ACTIVE | ACTIVE | 50L/0S / vol n/a |
| market_neutral | ACTIVE | ACTIVE | ACTIVE | ACTIVE | ACTIVE | ACTIVE | ACTIVE | 50L/50S / vol n/a |
| low_vol | ACTIVE | ACTIVE | ACTIVE | ACTIVE | ACTIVE | ACTIVE | ACTIVE | 50L/0S / vol 8% |
Market-neutral entered probation after the structural decay decision; the other PM mandates remained active.