Research
Notes from the research desk.
Notes on validating trading edge, converting strategies into algorithms and controlling risk, from the Leplace Capital research desk.
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How to validate a trading edge
A trading record can look strong and contain no edge. The four tests that separate a repeatable edge from a fortunate sample, and the order to run them in.
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Why backtests overstate live performance
When a live account underperforms its backtest, the cause is usually mechanical. Six mechanisms that inflate simulated results, and how to detect each one.
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What drawdown control means in practice
Drawdown control is a sizing decision taken before capital is deployed. Why the worst drawdown in a backtest is the wrong number to plan around.