4 posts
A Newey-West standard error corrects a t-statistic for autocorrelation. On my engine's 12-month panel it turned 18 monthly readings with a t-statistic of negative 18.8 into about two independent observations. The arithmetic, the lag choi…
A viral post claimed a simple 5/10 moving-average strategy that has not lost in eight years. I codified the most charitable readings of the claim, ran each one over SPY with costs, and checked the claim against its own success metric. It…
The order block is trading social media's favorite glossary card. I wrote the definition down as code, ran it across 30 large-cap names and five years of daily bars, and measured what the retest entry actually earns net of costs. The ver…
A backtest's job is not to find an edge. It is to stop you from believing in one that is not there. The toolkit I used to test my own trading engine, and the part where it killed my single best signal.