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The market's randomness itself drifts: competition arbitrages structure away, so recent data is more random than old and your backtest edge is an upper bound that decays, not a stable estimate.
Market "long memory" is mostly short-range autocorrelation in disguise: correct for it and the Hurst signal collapses toward random. Kill a striking statistic with the boring explanation first.
Bachelier's normal-price model lets prices go negative; putting the walk on log price fixes it. The twist: raw price fits a log-normal badly, but price divided by volume fits one cleanly.
After a crash the violent days keep coming, dense then fading along the same power-law curve geologists use for aftershocks. Independent returns can't do that, so size down for weeks, not days.
Mandelbrot's stable Paretian family fits markets better than the Gaussian: fat-tailed, fractal, with infinite variance that breaks volatility sizing, Sharpe, and every variance-based risk number.
Fat tails wreck Gaussian risk models and are also why trend following pays: the big moves the bell curve forbids cluster into trends and produce the rare giant winners that fund the small losses.
The COT index dies on currencies for a structural reason: futures are the whole hedging market in commodities but a rounding error in FX. No amount of tuning fixes an unrepresentative sample.
A raw commercial net of -60,000 contracts is meaningless until you scale it against its own range. The COT index maps it to 0-100, turning the hedgers' lead into a bounded contrarian signal.
Commercial hedgers sell into rallies and buy into selloffs because their business demands it, not their view. That makes their positioning a contrarian gauge that leads price by about two weeks.
The Commitment of Traders is a weekly census of who owns the futures market. Split it into hedgers, funds, and retail, watch the smart money, and remember the numbers reach you three weeks late.
A moving average cannot see a decade-long trend. For multi-year timing, fundamentals lead and price lags. Use them to set the course, and let faster price signals trim the sail.
A 90-day bill prices today's inflation; a 30-year bond prices a future it cannot see. Inflation signals grip the short end and lose their grip on the long end, where money supply rules.