Quant Mashup - Delphic Alpha Path Signatures: Does the Shape of Price Paths Predict Returns? [Delphic Alpha]Every indicator you use on a rolling window, momentum, RSI, Bollinger bands, discards the order in which events occurred. Two 2-hour windows with identical total return and identical range expansion score identically, even if one saw price rally first and volatility respond, while the other saw(...) Daily Long/Short Trend Following: Parameters, Asset Classes, and Universe Depth [Delphic Alpha]I ran the same trend-following strategy across futures, stocks, FX, and crypto. On futures it produced a net Sharpe of 0.73. Crypto came in at 0.56. US stocks barely broke even at 0.42. FX was marginal at 0.24. Same signal, same methodology, four very different outcomes. All four have near-zero(...)