ISSUE 1 - The Model Is Not the Market
Three gates a strategy has to pass
Trading Reality has, until now, been one practitioner writing from the seat. It becomes something else today.
Each issue, we’ll gather a handful of pieces — some from people whose work I’ve read for years, some written here — around a single problem that matters in production. This first one takes up the oldest and most expensive problem in systematic trading: the gap between the model and the market. The backtest that doesn’t survive contact with reality.
We take it from three angles, in sequence — three gates a strategy has to pass, and most pass none:
Is the edge even real — or is it noise, survivorship, overfitting wearing the costume of an edge?
Even if it looks real, do the numbers mean anything — or is the apparent skill a measurement artefact that vanishes when you measure honestly?
And even if it’s genuinely real, what’s left of it once it runs in production, not in research?
Michael Harris, Joachim Klement, and Robert Carver — one gate each. We start at the first.
The three pieces publish over the coming days — one a day. If you’d rather read the whole issue now, the links are here: Harris · [Klement] · [Carver]. Otherwise, they’ll arrive in sequence.