Research — full grids · held-out windows untouched

Papers & Autopsies

Long-form write-ups of what survived validation and what died. Every number comes from a pre-registered protocol: full grids reported, held-out windows untouched until adoption, permutation nulls on any survivor, and a permanent ledger of rejections.

  1. VALIDATED

    Slow Trend, Wide Net: A 28-Asset Breadth Study of Daily Trend Following

    One rule — long when price is above its 200-day average AND 60-day momentum is positive — was tested across 28 liquid ETFs spanning equities, sectors, rates, gold, FX and commodities. It was net-positive on all 28.

    2026-08-24 · read →
  2. NEGATIVE RESULTS

    Four Edges That Died (And What the Autopsies Taught)

    A full-S&P expansion that collapsed, a stat-arb book undone by costs and a backtest bug, thirteen intraday families killed by fees, and an ML prediction program closed by its own poison control. Negative results, fully documented.

    2026-08-24 · read →
  3. VALIDATED ALPHA

    The Flagship: A Walk-Forward ML Rotation That Survived Its Own Gauntlet

    A walk-forward ML rotation over 59 S&P names, blending two prediction horizons and gating entries by cross-sectional rank. +27.9% CAGR on an untouched test window, Sharpe 1.26 — with the Monte-Carlo receipts to back it.

    2026-08-24 · read →
  4. METHODOLOGY

    A Falsification-First Protocol for Retail Strategy Research

    The validation gauntlet every candidate strategy must survive before trading — walk-forward splits, permutation nulls, cost stress, and virgin holdouts. Most edges die there. That is the point.

    2026-08-24 · read →
Lab notes — every completed test, auto-imported (116)