Article 7 of 7 Building Momentum Systems Without Fooling Yourself. Previous: Meta-Labelling and Bet Sizing Six articles in, a candidate strategy exists: a registered label specification, a baseline probe, a regime gate evaluated as a feature, a secondary model that sizes bets, and a row in the register timestamped before any of its results. This […]
Article 6 of 7 — Building Momentum Systems Without Fooling Yourself. Previous: Regime Filters as Features, Not Conditions · Next: Validation: Return over Drawdown, Random Benchmarks, and the Honest Number At the end of Article 5 I had two things that do not yet form a strategy: momentum probes that each answer a single question, […]
Article 5 of 7 — Building Momentum Systems Without Fooling Yourself. Previous: Momentum Probes: The Baseline · Next: Meta-Labelling and Bet Sizing This article is the direct answer to the two “Illusion of the Filter” posts. Those posts described a researcher who takes a baseline, adds a volatility filter, reruns, keeps it, adds a trend-alignment […]
Article 4 of 7 — Building Momentum Systems Without Fooling Yourself. Previous: Labelling: Triple Barriers in Volatility Units · Next: Regime Filters as Features, Not Conditions The labels are defined, registered, and frozen. The natural next move, the one every trader’s hand reaches for, is to build a strategy. I do not do that yet, […]
Article 3 of 7 — Building Momentum Systems Without Fooling Yourself. Previous: The Hypothesis Register and the Stage-Gate Funnel · Next: Momentum Probes: The Baseline Before any signal can be judged, someone has to decide what “right” means. This sounds trivial and is the source of more quiet damage than any other decision in the […]
Article 2 of 7 — Building Momentum Systems Without Fooling Yourself. Previous: Architecture: Primitives, Layers, and the Judge · Next: Labelling: Triple Barriers in Volatility Units Article 1 described a library of primitives and a judge that cannot express a strategy. That architecture makes trials countable. It does not count them. Nothing in the software […]