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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Volatility targeting: sizing by realized vol instead of conviction
Early in my systematic trading career, I blew up a highly promising trend-following model because of a single, deeply human flaw: I sized my positions bas…
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Building a crypto trading bot with Temporal and PostgreSQL
When building a high-frequency or medium-frequency crypto trading bot, developers usually start with a simple asyncio loop or a Celery queue. I did exactl…
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How I use regime detection to switch trading strategies automatically
For about a year I ran a single mean-reversion book and quietly accepted that it bled money for weeks at a time. The strategy was fine. The problem was th…
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