Strategy research
Systematic strategy development across futures, index options and ETFs — derivatives pricing, second-order risk, volatility structure, and the statistical work that separates a real edge from a fitted curve.
Quantitative Research & Trading Systems
Quantitative research and the systems that trade it.
Hessian Research develops systematic strategies across futures, options and ETFs, and builds the backtesting and live execution infrastructure that carries them into the market.
The standard is whether a system survives a trading day — not whether it looks good in a notebook.
f(x,y) = x² − y²
FuturesEquity index & commodity
OptionsIndex, equity & 0DTE
ETFsLeveraged, inverse & arbitrage
Digital assetsSpot & perpetual futures
01 / Capabilities
What we build
Four areas of work, usually engaged together rather than alone.
Backtesting & data
Event-driven engines and market data pipelines built so a backtest resembles what actually happens at the exchange: real fills, real costs, correct point-in-time data, no lookahead.
Live execution
Order routing, position and risk management, reconciliation and monitoring. Broker integrations designed around disconnects, partial fills and the sessions nobody planned for.
Rebuilds & audits
Systems that half work, and nobody is certain why. We establish what is actually happening, document it, and return the system to a state a team can operate and maintain.
02 / Approach
How the work is done
Method matters more than any single strategy. These are non-negotiable.
∂²V/∂S₁²gamma
∂²V/∂S₁∂S₂cross
∂²V/∂S₂∂S₁cross
∂²V/∂S₂²gamma
The diagonal is the risk most books already measure. The rest of the matrix is where the surprises live.
- Out of sample, or not at all
- Chronological splits, walk-forward evaluation, block bootstrap for inference. Time series are never randomly shuffled, and a result that only exists in-sample is not a result.
- Costs before conclusions
- Spread, slippage, commission, financing, assignment and borrow are priced in before anything is called an edge. Gross performance is treated as an intermediate number, never a finding.
- Production is the test
- Deliverables run against a live broker with structured logging, reconciliation and explicit failure paths. A strategy that cannot be operated has not been finished.
- Evidence over narrative
- Descriptive work comes before models, and hypotheses are stated before they are tested. Where the evidence does not support a strategy, that is reported as the result.
03 / Infrastructure
Where it runs
Production venues, platforms and data sources the systems are built against.
Languages & core
PythonC#Pine Script
NumPy / pandasArrow / ParquetPostgreSQL
Brokers & platforms
Interactive BrokersQuantConnect / LEAN
NinjaTrader 8TradovateTradingView
Market data
DatabentoCME / CBOE
Options chains & surfacesTick & minute history
04 / Engagement
How to work with us
Scoped, documented, and handed over in a form your team can own.
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Research engagement
A defined question about a market, an instrument or a strategy — answered with a dataset, a method and a written conclusion, including when the conclusion is negative.
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Build
A specified system delivered end to end: research, backtest, execution and monitoring, with documentation and handover to the people who will run it.
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Review & rescue
An independent look at an existing stack — methodology, code and risk controls — with findings, priorities and a realistic path to production.
Work begins with a short scoping conversation: what exists now, what it needs to do, and whether this is the right fit. If it is not, you will be told so.
05 / Contact
Start with the problem, not the pitch.
Describe what you are trading, what is breaking, or what you want proven. You will get a direct answer on whether it is something we should take on.
contact@hessianresearch.com