4 posts
My build log said the loop was vectorized, and it had: a trivial loop at the end of the benchmark. The pricing loop, the one with exp and log in it, stayed scalar until I wrote the four-wide math by hand and the engine went from about 11…
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…
I wrote a C++ options pricer to learn low-latency numerics. The first clean version priced fifteen million options a second; getting to 215 million was less about clever code and more about being wrong, in public with myself, about where…
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.