Automated Stocks
The most researched market on earth, where the surviving edges persist because they are tedious rather than because they are secret. Tedium is precisely what automation is for — and the last piece here covers the two bugs that manufacture edges that were never there.
Post-Earnings Announcement Drift: The Anomaly That Survived Publication
Prices continue moving in the direction of an earnings surprise for weeks. This has been documented since 1968 and has weakened rather than vanished.
Factors, Plainly: What Value, Momentum and Quality Actually Pay
The most researched systematic edges in equities, and the least exciting to run.
Index Rebalance Flows: Forced Buyers on a Known Date
Index funds must trade specific names at specific times, and everyone knows in advance.
Pattern Day Trading, Account Structure, and Rules That Shape Strategy
In US equities the regulatory structure of your account determines which strategies you can run at all.
Your Data Decides Your Backtest
A strategy validated on one exchange's feed and run on the consolidated tape is two different strategies.
Survivorship and Look-Ahead: The Two Bugs That Manufacture Edge
Most spectacular backtests are not fraudulent. They are subtly, honestly wrong in one of two ways.