Methodology
Risk Management After the AI Rout: Volatility and Bias
Risk management lessons from an AI-fund drawdown: leverage, volatility, short track records, position sizing and decision bias. Includes a precommitted drawdown-review framework.
backtest
Backtest 332 – Combined systematic 1D portfolio: US equities + world indices (CAGR 35%, MaxDD 27%)
Backtest 332 runs the US-equities book from Backtest 317 and the world-indices book from Backtest 308 on one shared cash account. Over Jan 2016 – May 2026 the blended portfolio compounded at 34.84% CAGR with a 27.13% max drawdown, versus 14.94% and 33.92% for the S&P 500.
backtest
Backtest 317 – Systematic 1D strategy on US equities (CAGR 30%, MaxDD 18%)
Backtest 317 tests a long-only daily-bar systematic strategy on 4,176 US-listed equities from March 2016 to April 2026. It compounds to 30.4% CAGR versus 13.8% for the S&P 500, with a 17.7% max drawdown while holding positions only 78% of the time.
backtest
Backtest 308 – Systematic 1D strategy on world major indices + KOSPI 50 (CAGR 33%, MaxDD 14%)
Backtest 308 tests a long-only daily-bar systematic strategy on 1,006 world major-index constituents, now including KOSPI 50, from February 2016 to April 2026. It compounds to 32.7% CAGR versus 14.2% for the S&P 500, with a 14.36% max drawdown.
backtest
Position sizing on a real bench: why our A/B can’t cleanly tell fixed from sigma
Comparing fixed fractional, Kelly and sigma-targeting position sizing on a multi-version KreamEdge backtest bench. The bench cannot cleanly isolate a sizing edge.
backtest
Market-regime filter null result – why an SPX percent-rank gate did not improve our quant backtests
We built a 3-state SPX percent-rank market-regime gate and tested it on 14 systematic quant backtests. None improved. The base rates and the structural reasons why – plus what to try next.
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Backtest 265 – Systematic 1D strategy on world major indices (CAGR 28%, MaxDD 16%)
Long-only daily backtest on 956 world major-index constituents (20 Jan 2016 → 3 Oct 2025): CAGR 27.6% vs SPX 13.1%, Max DD -15.55%, Sharpe 0.89, 654 trades. Backtest, not a live signal.
backtest
Backtest 92 – Systematic 1D strategy on World indices (CAGR 40%, MaxDD 29%)
Backtest of the systematic World 1D strategy over 7,666 US and European equities on a daily timeframe across roughly 10 years. It produced a 40% CAGR with a 29% max drawdown, 1.79 Sortino and 1.15 Sharpe over 374 trades – backtested, not live, figures.