The most beautiful backtests are the most dangerous. Here’s why, and what to do about it. The selection pipeline that lies to itself Every developer of systematic strategies has roughly the same workflow. You design a strategy idea. You run it on historical data — in-sample. If it works, you split off a chunk you […]
In Part 1 I laid out why simulated incubation fails as a substitute for real incubation: it inverts the temporal asymmetry of knowledge that makes incubation informative. In Part 2 I quantified the bias with a Monte Carlo simulation. If simulated incubation is statistically broken, what should you do instead? This part covers five alternatives, […]
In Part 1 I argued that simulated incubation, declaring the last 12 months of data an out-of-sample window “because we could have designed the strategy a year ago” , inverts the very property that makes incubation informative: the temporal asymmetry of knowledge. I broke the bias into four channels: implicit look-ahead, publication selection, retroactively informed […]
“Honest Backtesting” series, article 1 of 3 A note on this series This is the first article in a didactic series on quantitative algorithmic trading I’m publishing here on the blog . I’m a Quant PM with well over a decade building systematic strategies across multiple asset classes. In that time I’ve read hundreds of […]
Top Algorithmic Trading Strategy Trends for 2025 Here’s a quick scenario for you: Picture two pilots navigating their way through a storm. One relies on a pre-plotted paper map created who knows when. The other sees the storm in three dimensions—a dynamic, live model of wind shear, pressure systems, and safe corridors, updated by the […]
Introduction to Algorithmic Trading What Is Algorithmic Trading? Algorithmic trading is a way of operating in financial markets using computer programs to automatically execute orders based on predefined rules and strategies. These algorithms can analyze vast amounts of data, identify market opportunities, and send orders within fractions of a second, reducing human intervention and improving […]