Deep dives into AI trading, market analysis, and the future of DeFi.
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Full derivation of the Almgren-Chriss optimal execution model: linear impact, the sinh/cosh trajectory, the efficient frontier, and working Python for calibrating eta, gamma, and sigma from Binance L2 and trade data.
A GARCH volatility forecast is only worth something if it improves a trading decision. We build a volatility-targeted crypto strategy, evaluate forecast quality honestly, and compare GARCH against realized-vol and EWMA baselines in a walk-forward backtest.
Crypto correlations are not constant — they spike toward 1 in every drawdown. DCC-GARCH models a time-varying correlation matrix, giving you dynamic hedge ratios for pairs trading and honest time-varying portfolio risk.
Plain GARCH(1,1) treats good and bad news the same and assumes Gaussian shocks. EGARCH, GJR-GARCH, and Student-t/skew-t innovations fix both — and give you honest VaR and Expected Shortfall for crypto.
How the GARCH(1,1) model captures volatility clustering in crypto, how to fit it by maximum likelihood with the arch library, and how to turn conditional-variance forecasts into position sizing and dynamic stops.
The capstone of the search-and-overfit arc, and it ends in a negative result — the correct one. A single-symbol dual-timeframe search on ETHUSDT found a config worth +16.35% out-of-sample and +2.62% on an untouched holdout; the Deflated Sharpe Ratio, accounting for ~37,000 trials, deflated it to 0.00. A cross-instrument pass over five majors (ETH/BTC/SOL/BNB/XRP, ~1.18M 1m bars each), selecting by median out-of-sample, kills it for good: dual DSR 0.24 / PBO 0.264, triple DSR 0.14 / PBO 0.327 — both fail the gates. The champion is profitable on 1 of 5 symbols and negative on the rest. This is what the anti-overfit apparatus is for: to stop you from shipping the best of noise as alpha.
Multi-timeframe backtests leak the future through a forming higher-timeframe bar whose final close does not exist yet. You cannot code-review your way to confidence — you have to test it. We reproduce the live bot's closed-bar rule exactly, then prove no leakage with a shifted-future probe: perturb every future bar and assert every past signal and trade is bitwise unchanged. 25/25 parity checks, and the probe has teeth.