Articles
Concepts, frameworks and critiques. Free, at every level. If you are new here, start with the path below and read it in order. It takes an evening.
Start here · the Foundations path
Read these in order
By the end you will know the three main families of mechanical systems, how much to put in each trade, what a losing stretch looks like, how to read a backtest, and how the orders they rely on actually fill. If you finish and decide systematic trading is not for you, that is a good outcome. It is cheaper to learn here than in a live account.
- 01 Mean reversion: buying weakness, selling strength
What a mean reversion system does, what its rules tend to look like, the shape of its results, and the conditions where it struggles.
- 02 Trend following: buying strength, selling weakness
What a trend following system does, what its rules tend to look like, the shape of its results, and why it spends so much of its time being wrong.
- 03 Breakout systems: buying the escape from a range
What a breakout system does, how its rules are built, why most breakouts fail, and what it takes to catch the few that run.
- 04 Position sizing: how much to put in each trade
Why the size of each position decides how deep your losses go, the arithmetic of getting back, and the common ways systems size their trades.
- 05 Drawdowns: the number that measures the pain
What a drawdown is, why its length can hurt more than its depth, why a backtest's worst is rarely the worst, and what to decide before one arrives.
- 06 Backtesting: what a test can and cannot tell you
How a backtest works, what it can and cannot tell you, the ways it flatters a system, and what to check before you trust one.
- 07 Market on close: what an MOC order is, and what it promises
An MOC order trades in the closing auction at whatever the closing price turns out to be. What it promises, what it does not, and why it is the default order for systems that decide at the close.
- 08 Limit on close: what an LOC order is, and the conditions it carries
An LOC order buys or sells at the closing price, but only if that price is good enough for you. What the order does, the two conditions attached to it, and where it fits in a mechanical system.
- 09 Market on open: what an MOO order is, and what the open brings with it
An MOO order trades in the opening auction at whatever the opening price turns out to be. How it works, why the open behaves differently from the close, and why so many systems decide at night and act at the open.
- 10 Limit on open: what an LOO order is, and the conditions it carries
An LOO order trades in the opening auction, but only if the opening price is good enough for you. What the order does, the two conditions attached to it, and why missing a fill matters more on an exit than on an entry.
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Filed by level (Foundations, Build, Operate) and by topic.
- Mean reversion: buying weakness, selling strength
What a mean reversion system does, what its rules tend to look like, the shape of its results, and the conditions where it struggles.
- Trend following: buying strength, selling weakness
What a trend following system does, what its rules tend to look like, the shape of its results, and why it spends so much of its time being wrong.
- Breakout systems: buying the escape from a range
What a breakout system does, how its rules are built, why most breakouts fail, and what it takes to catch the few that run.
- Position sizing: how much to put in each trade
Why the size of each position decides how deep your losses go, the arithmetic of getting back, and the common ways systems size their trades.
- Drawdowns: the number that measures the pain
What a drawdown is, why its length can hurt more than its depth, why a backtest's worst is rarely the worst, and what to decide before one arrives.
- Backtesting: what a test can and cannot tell you
How a backtest works, what it can and cannot tell you, the ways it flatters a system, and what to check before you trust one.
- Market on close: what an MOC order is, and what it promises
An MOC order trades in the closing auction at whatever the closing price turns out to be. What it promises, what it does not, and why it is the default order for systems that decide at the close.
- Limit on close: what an LOC order is, and the conditions it carries
An LOC order buys or sells at the closing price, but only if that price is good enough for you. What the order does, the two conditions attached to it, and where it fits in a mechanical system.
- Market on open: what an MOO order is, and what the open brings with it
An MOO order trades in the opening auction at whatever the opening price turns out to be. How it works, why the open behaves differently from the close, and why so many systems decide at night and act at the open.
- Limit on open: what an LOO order is, and the conditions it carries
An LOO order trades in the opening auction, but only if the opening price is good enough for you. What the order does, the two conditions attached to it, and why missing a fill matters more on an exit than on an entry.
- Overfitting: when a system learns the past too well
How a system ends up fitted to the noise of the past, why the best of many tests is often luck, the warning signs, and the habits that guard against it.
- Walk-forward testing: a fairer test of a system
How walk-forward testing works, rolling and anchored windows, how to read its results, and the ways it can still be fooled.
- Mean reversion is not a law of markets
Prices snap back in some markets, at some horizons, in some eras. In others they trend. Where reversion has shown up, why, and how to check before you build on it.
- The overlay that did its job, and the half of the record nobody shows you
A simple in-or-out trend rule on a broad US stock index cut the worst fall in half over 33 years. All of its advantage over holding the index came before 2009.
- Buy the close, sell the open
A trading day has two halves, the session and the night. Much of a stock index's long-run rise has arrived in the second. What a system that holds only overnight is doing, and why execution decides whether it works at all.
- The Holy Grail is uncorrelated systems
One good system is a start. Several good systems that do not lose at the same time are something else. Why correlation matters more than the number of systems, why it is harder to get than it looks, and why it fails exactly when you need it.
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