A rule that looked good on the two assets it was built on lost its edge when replayed unchanged on 60 others. Costs get the last word, and so does out-of-sample. Paper first, always. #algotrading #quant #buildinpublic #systematictrading

A tool that keeps coming back empty does not get more chances. It gets retired. Today one of mine went, after 5 runs in a row with nothing useful. Effort is not a result. #algotrading #quant #buildinpublic #systematictrading

A rule that beats shuffled copies of its own data is a candidate. A rule that only beats nothing is a story. Before any rule gets paper money, it has to pass this. Most don't. #algotrading #quant #buildinpublic #systematictrading

A smarter-looking rule didn't beat the simple one on unseen data. The simple one stays. #algotrading #quant #buildinpublic

87% of our real trades win. We're still not rich. 89 closed live trades, 30 days. Average win +0.9%. Average loss -2.2%. Half of the losers came on one bad day. Win rate is not profit. Each bar = one real trade. #algotrading #quant #buildinpublic #systematictrading

We never edit the test harness to make a result pass. Fingerprint it before the run, compare after: if it moved, the trial is void. #algotrading #quant #buildinpublic #systematictrading

Yesterday a test said "confirmed". Then we asked a simpler question: how much of that gain is just the market going up while we were exposed? Once controlled for, the edge shrank to nothing. A pass is a hypothesis, not a verdict. #algotrading #quant #buildinpublic

Write the pass rule before the test runs, not after. If you choose the finish line once you have seen the result, every idea looks like a winner. Rule first, result second. #algotrading #quant #buildinpublic #systematictrading

Today the lab tested another batch of ideas traders swear by. None survived unseen data, after fees. One scary number turned out to be bookkeeping, not a loss, and I only believed it after recomputing it a second way. #algotrading #quant #buildinpublic #backtesting

374 ideas tested against real fees. 340 discarded (91%). Most ideas fail; the process exists to find that out cheaply, before real money does. #algotrading #backtesting #buildinpublic #systematictrading