Article 1 of 7 — Building Momentum Systems Without Fooling Yourself. Next: The Hypothesis Register and the Stage-Gate Funnel The problem this article solves is not a statistical one. It is the problem that comes before statistics: how to arrange the software so that the number of hypotheses tested is knowable at all. The “Illusion” […]
Introduction to the series. The two “Illusion of the Filter” posts ([Part 1](https://www.quanthedgeai.com/blog/the-illusion-of-the-filter-that-works-why-adding-conditions-sequentially-destroys-strategies/), [Part 2](https://www.quanthedgeai.com/blog/the-illusion-of-the-filter-that-works-part-2-counting-what-you-didnt-write-down/)) explained why the usual way of building strategies fails. This series shows the alternative, end to end. The two previous posts made a negative argument: adding conditions one at a time, keeping what raises the metric, produces strategies that memorize […]
Part 2 of 2 — the remedies. Part 1 covered the intuition Part 1 ended with a diagnosis: the gap between in-sample and out-of-sample Sharpe is the bill for the noise you memorized, and sequential optimization runs that bill up silently because its degrees of freedom are never recorded. This part is about paying the […]
Part 1 of 2 — the intuition. Part 2 covers the methodological remedies. Every systematic researcher has lived this moment. The baseline equity curve is decent but unexciting: Sharpe 0.8, a few uncomfortable drawdowns. Then the idea arrives. What if I filtered out entries when volatility is too high? You add the filter, rerun the […]
Luigi Piva, CQF — Quanthedge AI (research arm of AlgosWorks AI Ltd) All code in this article is runnable as-is. The example track record is synthetic and fully specified, so every number is reproducible; Search for “Monte Carlo simulation trading strategy” and you will find, with remarkable consistency, the same recipe: take the list of […]
In the quantitative analysis of financial markets, the leap from univariate to multivariate time series analysis is not just a statistical exercise — it is a necessity dictated by the inherently interconnected nature of global markets. In this article I revisit and expand my Module 6 project for the Certificate in Quantitative Finance (CQF). We […]