FOLIO 07 — BLOG
Notes from the desk
Twenty short notes on how a strategy earns capital — validation, containment, costs and reporting. Not a newsletter. Not an offer.
Validation · 2026-08-12
Walk-forward is not optional
A strategy that only works where it was fitted has memorised, not learned. Twelve windows, judged only out of sample.
Research · 2026-08-05
Backtests are hypotheses. Live capital is the peer review
Nothing we deploy is trusted because it is clever. Evidence under duress, then a budget that cannot be argued with.
Technology · 2026-07-28
Kill switches before alpha
The larger half of the engineering is the apparatus of refusal. A halt is an action already taken.
Validation · 2026-07-21
The drawdown you have not seen
One thousand resamplings of the trade history. The question is never what the drawdown was. It is what it could have been.
Validation · 2026-07-14
Deflated Sharpe and the trial budget
The observed Sharpe, discounted for every trial burned in finding it. Bailey and López de Prado, not folklore.
Execution · 2026-07-07
Overnight swap is not a rounding error
FX on margin lives and dies on financing. We charge it in full, at the hour the strategy actually trades.
Digital assets · 2026-06-30
Perpetual funding as a cost, not a feature
Digital-asset perpetuals pay whoever is on the other side of the crowding. We model that payment before we model the signal.
Promotion · 2026-06-23
Capacity is a gate, not a hope
Modelled from venue depth and estimated impact at target size. Three times the target, or it stays on paper.
Technology · 2026-06-16
Unmapped positions are incidents
Every fill maps to a strategy, a mandate and a risk budget. Zero unmapped is a property of the book, not a slogan.
Reporting · 2026-06-09
Reporting is a product
Allocators read the same ledger we do. A figure that cannot be traced to fills is not published.
About · 2026-06-02
We do not override the machines
A discretionary override is an untested strategy with a sample size of one. No exception has been granted to date.
Research · 2026-05-26
The neighbourhood has to pay
An edge that exists at a single fitted point is a data artefact wearing a costume. We sweep the parameters around it.
Execution · 2026-05-19
CFD risk lives at the account
Margin, leverage and venue concentration are watched where they actually compound — not in the strategy’s own diary.
Promotion · 2026-05-12
Promotion is a decision, not a drift
Authority, a risk budget and a rollback policy travel together as one artefact. Committee enthusiasm is not a substitute.
Research · 2026-05-05
Point-in-time data, or nothing
A backtest inherits every sin of its data. We prefer to inherit fewer.
Performance · 2026-04-28
Correlation is tested, not assumed
The simulated track’s correlation to SPX is 0.11. Low correlation is a result we re-measure, not a brand we wear.
Execution · 2026-04-21
Slippage at the hour you actually trade
Average spread is a courtesy the market does not extend at 22:00. We do not take it.
Technology · 2026-04-14
Rollback travels with the model
Before the first live order, the strategy already knows how it is retired. The path is rehearsed, not invented in the hole.
Investors · 2026-04-07
What “qualified” means here
We do not market. We correspond. Eligibility is assessed before any document is sent.
About · 2026-03-31
Containment first, conviction second
QuantTrail began with a decision about what not to trust. Belief is the cheapest input in this industry.