astroquanta · blog
The research log
Four notes on the four things a backtesting library leaves out. Each one cites the paper it leans on by name, in the sentence, so you can check us. New notes are added when there is something to say, not on a schedule.
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Posts
| date | title | reading time | topic |
|---|---|---|---|
| The number you were handed was the best of N A Sharpe with no trial count is a numerator with no denominator. Here is what the record says happens when it gets priced anyway, and why the count has to ship with the result. | 7 min | trial count | |
| Point in time is not a lag Three datasets can carry the same column name and tell three different stories about the past. Restatement lags and index membership are where the difference hides. | 7 min | point in time | |
| Charge the fills before you draw the curve Spread, commission and impact, in that order, on every fill, before any conclusion. The log line “edge under 4 bps against a 7 bp round trip” explained. | 6 min | costs | |
| Two curves, one chart, 270 million dollars apart Capacity is the dollar figure at which a strategy’s own footprint removes its edge. Two backtests can look identical and differ by that figure alone. | 7 min | capacity |
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Every figure in these notes is a modelled output or a published finding, cited in the sentence. None is a return achieved by any customer.
No output of the Services is a recommendation, an offer, a solicitation, or advice about any security, strategy or account. Every investment decision is made by the customer and the customer's own investment professionals.