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16 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…
The Greeks manifold prices a long call on a 60 by 60 Black-Scholes grid over spot and time to expiry, draws profit and loss as height against a premium fixed at the strike and the longest tenor, and colors each cell by one Greek. Gamma i…
The yield curve surface reads 11 FRED constant-maturity Treasury series from one month to thirty years, keeps the 60 most recent complete daily curves, and labels the curve inverted when the 30-year yield is more than 0.1 percentage poin…
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…
I built a quant research platform, then built an agent to operate it: a scheduled Claude session that reads the boards, keeps a pre-registered track record, and texts me three times a day without ever saying buy.
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 3D render crossed my feed once and stuck with me, so I tried to see an option the same way: as a surface I could grab and turn, not a number. That turned into five market visualizations on one shared trick, a compliance rule the archit…
A screensaver joke, every stock a fish, grew into a six-lens market board I leave running on a wall. It lives in one HTML file on purpose, its data is baked because the browser is not allowed to fetch it, and the feature that finally mad…
I stopped staring at market dashboards. A set of alarms now watches a dozen signal dimensions across the market and taps me on the shoulder only when something actually needs a decision.
Every system that fuses signals into one consequential number has a fault line: the data you trust enough to composite into a grade versus the data you only trust enough to watch. How I drew that boundary in my personal finance engine, a…
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.
Two posts ago I bet that keeping my portfolio reviewer's engine deterministic and auditable was worth it. This is where that bet paid off: because the engine is replayable, I could run a simulated market crash through the real production…
A personal portfolio reviewer where the scoring is deterministic and the AI only narrates. The architecture that held up after I had to rewrite the model it was built on, and why that boundary is the whole point.
Two weeks after I shipped a post about a scoring engine I'd built, I rewrote the spec it was based on. Here's what I learned, and why I had an AI agent do the literature review.