This is a summary of links recently featured on Quantocracy as of Friday, 07/10/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Cross-Asset Lead-Lag Trade in US Refiners [Beyond Passive]You can watch a refiner's gross margin move in real time: it trades in the futures market, tick by tick, as the crack spread and the stocks that earn it are reliably slow to follow. That lag is small, but it is honest, market-neutral, and it rests on a mechanism rather than a curve fit. This is the first of three parts: the idea and the evidence here, the execution and its costs in the
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How Many Backtests Is Too Many? We Ran the Same Search Twice to Find Out [Rulyfi]Key Takeaways A single strategy, its trades bit-for-bit identical, grades as luck in one scan (deflated Sharpe 0.035, inside a 21.9M-trial search) and close to real in another (0.919, inside 14.8M). The strategy never changed; the crowd it was measured against did. We ran one 5.7-year BTC and ETH perpetuals search twice, changing one thing: run B removed the swept configurations of two
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Skill or Luck? We Ran 100 Million Bitcoin Backtests to Show You How to Tell [Rulyfi]Key Takeaways The Deflated Sharpe Ratio (DSR) adjusts a strategy's Sharpe for how many strategies you tested. It sets the bar not at zero, but at the best Sharpe you would expect from luck alone after N tries, a bar that grows only with the logarithm of N. Of 99,878,688 BTC/USDT backtests, 336,818 cleared a plain significance test (PSR > 0.95), but only 3,130 (0.003%) cleared a full