Research notes

Working notes from the desk.

Market structure, downside-first evaluation, execution honesty, and the evidence standard a systematic record should meet before it asks for anyone’s capital.

ExecutionJune 2, 2026

Execution replay: auditing our own fills

A backtest assumes fills. A live record proves them. We replay every fill against recorded market data because slippage is a dataset, not an excuse.

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EvaluationMay 12, 2026

Sortino before Sharpe: why we report the downside first

Symmetric risk measures reward strategies for volatility they never suffered. We lead every evaluation with the statistics that describe how a strategy loses.

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RiskApril 20, 2026

Regime attribution: making robustness inspectable

An aggregate track record answers one question. Decomposing it by volatility, trend, correlation, and liquidity state answers the one that matters: where does this break?

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