Aligrithm is an independent research publication on systematic trading, quantitative research, market microstructure, and adaptive systems. Long-form essays, code notebooks, and architecture breakdowns across eight pillars, built for traders who care more about how markets behave than about hype.
More about the publication →Read in order. Each pillar walks you out of one trap with one new ability. The newest article is the worst place to begin.
Volatility expansion and directional opportunity look identical on an ATR chart but differ: motion can go somewhere or cancel out. Confirm with the efficiency ratio before trading.
Box a window of price and see how much the candles fill. A trend leaves it empty; a chop paints it wall to wall. Price density is the efficiency ratio you can read by eye.
The same market is choppy at the hour and efficient at the month: the timeframe decides whether you see trend or chop. Choose it where noise, cost, and sample all hold.
One indicator means opposite things across noise regimes: RSI 70 reverses on EURUSD but marks a healthy uptrend on crude. Gate the family on the efficiency ratio, don't force one parameter set.
Low noise is trend fuel: motion that accumulates keeps going. The payoff is few big winners against many small losers; the risk is a flip to chop, so gate breakouts on the efficiency ratio.
High noise is mean-reversion fuel: motion that cancels out keeps returning to center. The danger is a flip to trend, so gate fades on the efficiency ratio and stop at the MAE edge.
Stop keeping the best backtest Sharpes from a big universe; they are partly luck. Rank markets by trend quality first, allocate trend systems to the top and mean-reversion to the bottom.
The efficiency ratio is net change over total path, between 0 and 1. It measures how much of a market's motion became direction. Read it at your trading horizon, then pick your strategy family.
Two markets can show identical volatility and opposite tradeability. Volatility measures how far price moves; noise measures how much cancels out. Trade the noise axis, not the variance.
The deployment-readiness artifact: 32 items in 7 categories. Each box backed by analysis, reviewed by a second pair of eyes. Failures block or constrain.
Apply realistic costs from Stage 2, not at the end. HFT strategies are cost-dominated; low-frequency edge-dominated. Teams that fall in love with pre-cost numbers resist the post-cost reality.
A strategy is more than net profit. The evaluation panel has 25 metrics across 7 categories. The panel reveals the failure axis. Headline numbers project away the operational info. Report all 25.