Discretionary entry + systematic exit: how I handle leverage
I used to blow up accounts on leveraged crypto futures and index options for a very specific reason: I let my discretion stay in the trade for too long.
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Pairs trading on Korean equities: cointegration that actually held
If you have ever tried running a statistical arbitrage book on global equities, you know the painful cycle of backtesting a promising pairs trading strate…
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Walk-forward optimization that didn’t lie to me: a practical setup
Three years ago, I fell into the same trap that claims most algorithmic traders. I engineered a volatility-breakout strategy on BTC/USDT hourly data, opti…
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Backtesting pitfalls: survivorship bias in Korean equities
Two years ago, I built a long-short equity strategy targeting small-cap equities listed on the Korean KOSDAQ exchange. On paper, the strategy was a money…
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Slippage modeling: why my backtest PnL evaporated in production
Six months ago, my mean-reversion strategy looked like a money printing press. Backtesting on 1-minute bar data for the top 50 perpetual swap markets on B…
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Avoiding lookahead bias: the data-pipeline mistakes that fooled me
Every algorithmic trader has a skeleton in their closet: a backtest that looked so impossibly perfect they started calculating the size of their first yac…
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Why my cross-sectional reversal strategy failed backtests (and what I learned)
A Sharpe ratio of 4.8. That is what my first naive, vector-based backtest of a daily cross-sectional reversal strategy yielded. Using a clean universe of…
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Funding-rate arbitrage on perpetual futures: the costs nobody mentions
It looks like the ultimate risk-free trade on paper: buy spot, short the perpetual future, and pocket the funding rate. In crypto bull markets, annualized…
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Order book imbalance as a short-horizon signal: what survived
If you read academic literature on market microstructure, Order Book Imbalance (OBI) is presented as an easy source of alpha. The classic formula:
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Handling corporate actions and splits in my backtester
It was 2:00 AM on a Tuesday when I realized my backtester was lying to me. I was reviewing the performance of a daily-horizon mean-reversion strategy on t…
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