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.
A correct macro view traded by hand still loses to your own cognitive defects. Keep macro as a regime gate and hand execution to rules: macro chooses the game and direction, the system plays it.
Bid/ask bounce makes intraday price zig-zag across the spread with no information, faking a mean-reversion edge that is just the spread you pay to trade it. Use mid-price and pay the spread in tests.
A market order pays the spread for a certain fill; a limit order earns the spread but may never fill and is adversely selected. Match it to the signal: market for momentum, limit for mean-reversion.
FX profit is born in the quote currency, not in pips. EURUSD pays in one step; USDJPY needs converting back to dollars. Get the per-pair pip value wrong and you mis-size every trade.
Interbank fills are tight and firm; retail adds markup, wider spreads, last look, and a B-book conflict. The same signal earns a different net edge by tier, so test with your tier's real frictions.
FX liquidity lives on a few primary interbank venues; every other price is a thinner copy. It runs inverse to volatility, so slippage is worst exactly when your breakout fires.
FX is two markets, not one: a wholesale tier where price is discovered and a retail tier selling a marked-up, wider-spread copy. Backtest one and trade the other, and the gap eats your edge.
Classical intermarket is a hand-drawn graph of a few edges. Network momentum learns the whole graph from prices and builds each asset's signal from its neighbors' momentum. Same equation, more edges.
A leading market forecasts the one that follows, the rarest intermarket edge and the most fragile. Measure it with lagged cross-correlation, demand an economic reason, and expect it to decay.
Confirmation makes a second related market second a trade before you act. A real trend moves both markets; a false breakout moves one. It cuts whipsaws, at the cost of fewer, later trades.
A currency price is a relative number; the force that moves it lives off the chart. Watch rates, equities, and gold, take the trade only when a majority confirm, and respect the dollar smile.
When two correlated markets agree they tell you nothing; the signal is the disagreement. Divergence flags when leader and lagger split, but you must know which leads, and the lead shifts.