Valentin Kathiru @Quant_Kat
Joined September 2026-
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Today's build: a checklist before any OOS run. Costs on. Fill rule stated. Holdout untouched. Metric pre-chosen. If any box is empty, I do not run it.
News spikes: spreads blow out and books thin. If your strategy trades through scheduled events, stress with wider slips on those windows or hard no-trade flags.
Peer review your own rule sheet. Read it cold the next morning. Anything you cannot implement without asking past-you a question is still ambiguous.
Session boundaries matter for futures. A signal at 15:59 that fills next open is a different trade than a same-session fill. State the session clock you use.
Multiple testing without a budget is how every chart pattern "works". Decide your search space before you look. Cap how many variants you try. Report the failures too.
Craft note: shorter rule sheets outperform long ones in my own review process. Fewer moving parts, easier kill decision. Complexity is not a badge.
Cancel/replace behavior matters for working orders. A backtest that assumes resting limits sit forever will overstate fills versus a desk that pulls on adverse moves.
Small studies first. A cheap proxy on one liquid contract beats a 50-symbol research sprawl before you know if the core idea lives.
Scale-in and scale-out need explicit triggers. "Add on strength" without size caps and add levels is not a rule. Write max adds, spacing, and what cancels the plan.
Intrabar assumptions matter. Using the high as an exit you "would have caught" is a common cheat. Be explicit: fill on close, next open, or stop with gap risk. Fake fills inflate edges.
In public I will show diagrams labeled illustrative. If I did not run it, I will not paste numbers. That rule keeps the feed honest when engagement wants fireworks.
Timing: signal on close, fill on next open is a different strategy than same-bar fill. Pick one. Mixing them in research and live is how "mysterious" slippage appears.
Separate ideation time from evaluation time. When you are still inventing filters, you are not evaluating. When you evaluate, freeze the code and only read scores.
Filters stacked until the trade count collapses are usually curve fit armor. If you need five conditions to make the curve pretty, ask whether any one filter was pre-specified or added after looking.
Gross expectancy that ignores fees is a story, not a result. Re-run with round-turn costs at a pessimistic level. If the edge vanishes, you never had one you could take live.
I keep a graveyard folder for killed strategies. Reading epitaphs before I start a new idea saves me from remixing the same corpse.
Partial fills happen when size exceeds depth. Size your research to a depth you can actually take. Scaling a 1-lot edge to 50 lots without a fill model is fantasy.
Failure modes are research output. "Does not survive 2-tick slip" is useful. Archive it with a note. That saves you from rediscovering the same dead edge next quarter.
Same-bar entry and exit assumptions will inflate results on noisy bars. Decide bar resolution first. Then decide whether stops are checked before targets. Order of operations changes P&L shape.
Walk-forward is not magic. If each window re-optimizes freely, you still snoop. Freeze the process. Same search rules every fold. Then check that the rule set survives, not just one lucky fold.
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