Research
Five working papers on the boundaries of statistical edge in systematic trading. Pick one.
What we found
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).
The work, in the open
SSRN 6636018 · permutation testing
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 studySSRN 6858778 · DEX-only
No 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 studyCross-market study · SSRN 6955879
The 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 studySSRN 7022599 · maker adverse selection
Adverse 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 studySSRN 7157638 · Aave v3 liquidation risk
Liquidation 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 studyPaper in progress · open source
Quant 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