Research
Six working papers on the boundaries of statistical edge in systematic trading. Pick one.
Within-strategy Monte-Carlo permutation testing adds no predictive value to forward strategy selection.*
A long-only, realistically-costed trader has no tradeable edge in DEX-only coins.†
*Lift indistinguishable from zero across 437,911 strategy configurations and 6.63 billion within-strategy permutations on nine instruments spanning crypto, forex and commodities. An earlier negative-lift result was traced to a floating-point summation-order artefact, not a real effect.
†For a long-only trader using only price-based signals, with realistic fees and slippage, across 27 decentralized-exchange-only chains. Working paper published on SSRN (6858778).
Predictive Value of Within-Strategy Permutation Tests for Forward Selection
Whether acting on within-strategy Monte Carlo permutation tests improves forward strategy selection, across 437,911 strategy configurations and over 6 billion permutations on nine instruments spanning three asset classes.
Read the studyNo Edge Without Information
Whether a long-only, realistically-costed trader has any price-based edge in decentralized-exchange-only coins, across 4,990 pairs on 27 chains, with interactive in-browser demos. Working paper published on SSRN.
Read the studyThe Reach of the World Cup Distraction Effect
The World Cup is a clean, planet-scale attention shock, yet the global derivative venues that now carry most trading barely register it. The headline evidence that they do is an artifact of measurement. Across 11 instruments and five market structures, 158 tests turn up nothing that survives correction.
Read the studyAdverse Selection Consumes the Touch
How much of a market maker's earned spread is consumed by adverse selection, measured fill by fill on true-aggressor-signed CME futures across 13 roots and 353,387 maker fills, with interactive in-browser figures. Published on SSRN.
Read the studyLiquidation Without Loss
A 5% de-peg flags $1.38B of one Aave-v3 slice as liquidation-eligible, and the protocol bad debt on the same path is $0. The paper separates eligible debt from executed volume from realized loss on one live block of 17,419 borrowers, derives the depth at which volume could become loss, and sizes the channels that actually convert it.
Read the studyQuoting the Touch Does Not Pay Its Adverse Selection
A simulated maker quoting at the back of the queue on Bybit, Binance USD-M and Hyperliquid pays more in post-fill drift than it earns in half-spread, across 9,983 coin-days and 125.8 million fills. Because all three venues publish the true aggressor side, the paper also prices what Lee–Ready and the tick rule cost when that flag is missing.
Read the studyQuant Research Framework
A backtester built twice, a Python reference and a Rust port that agree to within a thousandth, with walk-forward optimisation, regime segmentation, and robustness stress testing built in.
Open the framework