6.12 Average Drawdown vs Extreme Drawdown
Your backtest's max drawdown is one draw from a distribution you never measured. Reshuffle the trades thousands of times, read the extreme off a high percentile, and know it understates loss streaks.
Author
ali askar
6.11 Drawdown Is Not Just a Number: It Is a Diagnosis
A drawdown's depth tells you almost nothing. The same dip can be a trend system paying its fee or a dead edge. Read the trades underneath; the diagnosis decides the treatment, not the number.
6.10 How to Build a Cost-Aware RSI Ranking System
RSI as a 70/30 trigger is noise. Z-score it cross-sectionally, check the shape, rank and risk-size the extremes, then buffer the turnover. The four-step pipeline works for any indicator.
6.1 Ranking Beats Forecasting for Many Trading Problems
For cross-sectional strategies you don't need to predict returns, only to order them. Ranking throws away the fragile magnitude and keeps the part that survives regime shifts.
5.21 Cross-Exchange Fair Value for Crypto Perps
On a follower crypto venue, your local mid is stale. Build fair value from the leader: regress the basis against Binance's mid, blend global and local prices, and respect the stablecoin rates.
5.20 Dynamic Symbol Selection for Market Makers
A maker shouldn't quote everything. Track the EWMA markout of every trade in a symbol, quote only the non-toxic names, and scale size by markout. Selection alone can turn a flat system profitable.
5.19 Maker vs Taker Edge: Same Signal, Different Economics
One signal, two businesses. The taker pays the spread and needs a strong edge; the maker earns it and thrives on weak ones across a wider universe at higher frequency. The spread divides them.
5.18 Why Small Alphas Matter More for Makers Than Takers
A half-bp signal is garbage to a taker who pays the spread and money to a maker who collects it. That cost flip turns thousands of weak alphas into the bulk of a maker's PnL.
5.17 TWAP and VWAP Are Execution Models, Not Just Indicators
TWAP and VWAP are not indicators to cross over. They are execution benchmarks and the slicing algorithms built to hit them, the machinery for moving a large order without blowing out the price.
5.16 Fill Probability from Trade Size CDFs
A quote's PnL is easy; its fill probability is the hard part. Build a CDF of taker order sizes and read off the chance the next trade is big enough to clear the queue ahead of you plus your own size.
5.15 Using Trade Flow to Predict Short-Term Price Movement
Trade flow reads liquidity being taken, not posted. Signed and summed, it predicts price because trades are autocorrelated: buys follow buys. And unlike book imbalance, executions can't be spoofed.
5.14 Microprice: Better Than Mid Price?
The plain mid ignores resting sizes. The weighted mid and microprice lean the center toward the thin side, where price is headed, giving a maker a fair value that already respects the book.