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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Building a limit-order execution engine that respects the order book
Backtesting a high-frequency or market-making strategy using simple daily or even bar-by-bar data is a fast track to losing capital. In my early days buil…
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Detecting regime change with a two-state hidden Markov model
My trend-following systems spent the summer of 2023 getting shredded. I was running a systematic breakout strategy on liquid futures, and the market enter…
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Position sizing with the Kelly criterion: where it broke in live trading
If you spend enough time in the quantitative finance literature, you will inevitably run into the Kelly criterion. It is presented as the holy grail of po…
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Cross-sectional momentum vs mean reversion: a practitioner’s comparison
Two years ago, my team was tasked with scaling a mid-frequency long-short equity book from $15M to $80M. Up to that point, we had run simple time-series m…
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