Research / Index
Research
Working papers, experiments and methodological notes. Entries marked as demonstration content are placeholders and contain no verified results.
- 01
Multiple Testing in Strategy Search
Why the best backtest in a large search is biased upward, and how to reason about it before looking at a single equity curve.
Statistical Inference14 SEPT 2026Demo entry - 02
Path Dependence and Drawdown Uncertainty
A single historical path is one draw. Resampling return sequences gives a distribution of drawdowns rather than one number.
Strategy Robustness30 JUL 2026Demo entry - 03
Notes on Order Flow Imbalance
A reading-note style outline of how signed volume and queue dynamics are commonly modelled at short horizons.
Market Microstructure18 MAY 2026Demo entry - 04
Covariance Shrinkage for Allocation
Sample covariance matrices are noisy when assets are many and observations are few. Shrinkage trades a little bias for a lot of variance.
Portfolio Construction02 MAR 2026Demo entry