Engineering notes

How we measure things, including when we got it wrong.

No performance claims and no predictions — just the arithmetic behind how a strategy gets measured before it trades money. Every post shows its working.

Three ways our own backtester was flattering us
Sharpe annualised as if the strategy never left the market, returns compounded across trades that overlapped, drawdown measured in the wrong order. Here is the arithmetic, and what each one is now.
19 September 2026 · 6 min read

Three ways our own backtester was flattering us