KAUFMAN RESEARCH REPORT  (KRR)

KAUFMAN RESEARCH REPORT: Technical Research for Algorithmic Trading Strategy Development
[Clean header with Perry's portrait - casual photo]
In-Depth Methodology Research from the Engineer Behind 30+ Years of Institutional Trading Strategies
For over three decades, Perry Kaufman's algorithmic trading strategies have served institutional investors, hedge funds, and serious systematic traders. His methodologies don't just work in backtests—they've proven themselves across every market condition since 1995, including the 2008 financial crisis and 2022 inflation shock.
The Kaufman Research Report provides the technical details behind these strategies. Each bimonthly issue delivers in-depth analysis of a specific component of systematic trading: stop-loss optimization, risk management methods, signal combination techniques, market selection criteria, and more.
This is not market commentary. This is engineering documentation for traders who want to understand—and implement—the methodologies that institutional investors have used for decades.
Annual subscription: $300
Six bimonthly technical reports delivered via email
[Subscribe to KRR →]

What Makes This Different
Most trading education provides surface-level overviews. You learn that a concept exists, but not how it actually works or why specific parameters were chosen.
The Kaufman Research Report provides implementation-level details:

The actual formulas and calculations
Programming code showing how concepts are implemented
Spreadsheet examples with working calculations
Optimization methods and the trade-offs involved
Performance data from live trading applications

This is technical content designed for traders with quantitative backgrounds who want to build or enhance their own systematic strategies.

Content Structure
Each issue focuses on one specific topic and delivers comprehensive technical analysis:
Stop-Loss Placement and Reentry Logic

Volatility-based stop calculations
Fixed vs. adaptive stop methods
Reentry logic that avoids whipsaws
Comparative performance across methods
Code and formulas for implementation

Risk Management and Position Sizing

Volatility parity calculations
Dynamic position sizing methods
Portfolio-level risk controls
Deleveraging triggers and thresholds
Mathematical optimization approaches

Signal Combination Techniques

Testing for signal redundancy vs. confirmation
Correlation analysis methods
Multi-timeframe confirmation logic
Combining uncorrelated vs. correlated signals
When consensus improves performance

Market Selection and Efficiency Analysis

The Efficiency Ratio: measuring market trendability
Ranking markets for different strategies
Why certain sectors perform better for trend-following
Dynamic market selection based on current conditions
Avoiding markets that don't fit the strategy

Profit-Taking Optimization

Scaling out vs. all-or-nothing exits
Trailing stop calculations
Target-based exits and their limitations
Balancing profit protection with trend capture
Performance impact of different exit methods

Volatility-Based Risk Controls

When to reduce exposure based on volatility
Portfolio-level vs. position-level controls
Calculating annualized volatility triggers
Extreme risk exit thresholds
Reentry conditions after volatility exits

Portfolio Rebalancing Methods

Equal dollar vs. equal risk allocation
When and how to rebalance
Impact on compounding returns
Transaction cost considerations
Dynamic allocation based on performance

Performance Measurement and Attribution

Return-to-risk ratio calculations
Drawdown analysis methods
Attribution: which components drive performance
Comparing strategies across market conditions
Data quality and testing methodology

What's Included in Each Issue
Technical Analysis: In-depth examination of the topic with mathematical rigor and engineering precision.
Formulas and Calculations: The actual equations used to implement the methodology. Not conceptual explanations—the real math.
Programming Code: Actual code showing implementation (when appropriate). Perry's core models use Fortran (chosen for reliability and mathematical precision), but concepts translate to any programming environment.
Spreadsheet Examples: Working Excel/Google Sheets models with formulas you can examine and adapt. See exactly how calculations work with real data.
Performance Data: Results from live trading applications showing how methods perform in real markets, not just backtests.
Optimization Approaches: How parameters were chosen and what trade-offs were made. Understand the decisions behind the methodology.

Data Integrity and Testing Methodology
All research uses clean, consistent data with closing prices only—never optimized using unrealistic entry/exit assumptions.
This matters because many published trading strategies show impressive results by using:

The high price for sells and low price for buys (impossible to execute)
Inconsistent data sources that introduce survivorship bias
Look-ahead bias where future data influences past decisions
Curve-fitting to specific historical periods

Perry's approach ensures strategies are actually tradable going forward, not just impressive in hindsight. After 50+ years developing strategies for institutional investors, data integrity and testing methodology are non-negotiable.

Who This Is For
The Kaufman Research Report is designed for:
Quantitative traders who want to understand the mathematics and implementation details of systematic strategies, not just high-level concepts.
System developers building their own algorithmic approaches who need proven methodologies and optimization techniques.
Professional traders required to explain their strategy methodology to compliance, investors, or partners with technical precision.
Institutional investors evaluating systematic strategies who want to understand what separates robust approaches from curve-fitted backtests.
Technically-minded traders with programming or mathematical backgrounds who are frustrated by surface-level trading education.
This is not for:

Traders looking for stock picks or market predictions
Beginners wanting introduction-level education
Anyone seeking "get rich quick" approaches
Traders who prefer discretionary methods over systematic strategies

About Perry J. Kaufman
[Photo: Perry's casual portrait]
Perry J. Kaufman is a financial engineer with over 50 years developing algorithmic trading strategies for institutional investors.
Background: Perry began his career in aerospace engineering, working on navigation and control systems for the Gemini space program and military reconnaissance. This foundation in mathematics, precision engineering, and systems that must work under extreme conditions shaped his entire approach to trading strategy development.
Trading Systems Development: For over 30 years, Perry has developed algorithmic strategies for major investment houses, hedge funds, and serious systematic traders. His methodologies span trend-following, mean-reversion, portfolio risk management, and asset allocation across global equity and futures markets.
Published Author: Perry has written nine books on systematic trading, most notably Trading Systems and Methods, now in its 6th edition. This industry-standard reference has been translated into eight languages and used by professional traders worldwide for over 20 years.
Teaching Philosophy: Perry's approach emphasizes robustness over optimization, risk management over prediction, and time-tested concepts over trendy innovations. His strategies are designed to survive changing market conditions, not just perform well in backtests.
The Kaufman Research Report extends Perry's educational work by providing the same technical depth and rigor found in his textbooks, focused on specific methodology topics delivered bimonthly.

How This Relates to Trading Signal Subscriptions
Perry offers three algorithmic trading signal subscriptions: Trend, Timing, and Divergence. These provide daily or weekly buy/sell orders for specific stocks and futures contracts.
The trading signal subscriptions are execution tools—they tell you what to trade and when.
The Kaufman Research Report is an education tool—it teaches you how systematic strategies are developed and optimized.
If you subscribe to Trend, Timing, or Divergence: You automatically receive the KRR as part of your subscription at no additional cost. The research report helps you understand the methodology behind the signals you're executing.
If you only want the research: You can subscribe to KRR standalone for $300/year without subscribing to the trading signals. This is ideal for traders developing their own systems who want Perry's methodological insights.

Subscription Details
Annual subscription: $300
Delivery: Six bimonthly issues sent via email as PDF attachments
Length: Each issue is typically 10 pages of substantive technical content, plus code/spreadsheet appendices when applicable
Payment: One-time annual payment. No automatic renewals or recurring billing. After one year, your subscription expires unless you choose to renew.
First Issue: Ships within one week of subscription. Subsequent issues delivered bimonthly (every two months).
Current trading signal subscribers: You receive the KRR automatically as part of your existing subscription. No additional payment required.

Frequently Asked Questions
Q: How technical is the content?
Very technical. Content includes mathematical formulas, programming code, and quantitative analysis. If you're comfortable with spreadsheet calculations and basic programming concepts, you'll be able to follow and implement the material. This is not general-audience content.
Q: What programming languages are used?
Perry's core models use Fortran, chosen for mathematical precision and reliability. Code examples translate to other languages, and the focus is on methodology rather than specific syntax. Spreadsheet examples are provided for those who prefer working in Excel/Google Sheets.
Q: Will this help me build my own trading systems?
Yes. The KRR provides the actual methodologies, formulas, and optimization approaches Perry uses in his institutional strategies. You'll have implementation-level details needed to build similar approaches.
Q: How is this different from the Performance Reports on your website?
Performance Reports show monthly results from the Trend, Timing, and Divergence trading programs. The KRR is technical methodology research—how to develop and optimize systematic strategies. Completely different purposes.
Q: Can I subscribe to just the KRR without the trading signals?
Yes. KRR is available as a standalone $300 annual subscription. You do not need to subscribe to the trading signal programs.
Q: If I already subscribe to Trend, Timing, or Divergence, do I pay extra for KRR?
No. Current trading signal subscribers receive the KRR automatically as part of their subscription at no additional cost.
Q: Is there a money-back guarantee?
No. Given the technical nature of the content and immediate delivery of substantial intellectual property, subscriptions are non-refundable. Review the detailed description to ensure this matches your learning objectives before subscribing.
Q: Will issues cover topics I've already seen in Perry's books?
The KRR extends and updates concepts from Perry's published works. While some foundational principles appear in Trading Systems and Methods, the research reports provide current applications, recent performance data, and implementation details not covered in the books.

Subscribe to Kaufman Research Report
$300 annual subscription
Six bimonthly technical research reports
[Subscribe to KRR →]
Questions? Contact: [email/phone]

Performance Disclaimer: Past performance is not indicative of future results. The methodologies discussed in the Kaufman Research Report are educational in nature. Implementation of any trading strategy involves risk of loss. Subscribers are responsible for their own trading decisions and outcomes.