Insights from the Trading Floor
Welcome to my quant and algo trading blog. I started this blog to share what I’ve learned from years in the trenches of quantitative trading. Here you’ll find honest, hands-on takes on building models, testing strategies, and navigating execution challenges. I focus on real trading experience, breaking down complex ideas in a way that actually makes sense. Whether I’m designing a new model or tweaking an existing strategy, I share what actually works (and what often doesn’t) so you can see how raw data turns into real trading decisions.
Because of my current role in the industry, I write under the name AnonAlgoTrader. This lets me share openly while respecting the confidentiality of my day job and the institutions I’ve worked with.
I hope the articles here, both my own and those from occasional guest contributors, help you pick up something useful, spark an idea, or simply see how quant trading really works. And if you ever feel like adding your own perspective, I’d love to read it. You can share a piece anytime through the contribute page.
Latest Articles on Quant and Algo Trading
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Why Deep Learning Doesn’t Work for Trading
Deep learning has transformed vision, language, and games, while doing almost nothing for alpha generation. The gap between conference papers…
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Algorithmic Execution Risk in Systematic Trading
Slippage is the standard explanation for the gap between backtested returns and live performance. Treating it as the explanation leads…
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Why Mean Reversion Strategies Don’t Survive Live Markets
Mean reversion is easy to backtest and hard to trade. The strategy has an almost perfect record of looking good…
Other Articles on Backtesting and Execution
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What Makes a Strategy Survive Out of Sample
Most strategies fail out of sample because they never captured anything real. Poor testing methodology gets the blame, but the…
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Your Alpha Decays the Moment You Trade
A backtest shows 15% annualized returns while live trading delivers 6%, even though nothing breaks and the signal captures a…
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Adaptive Covariance Models That Actually Hold Up in Live Trading
Sample covariance from a rolling window will blow up your portfolio. Shrinkage, factor decomposition, or exponential weighting can help, but…
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Why Your Risk-Adjusted Returns Lie
Sharpe is widely reported but often misinterpreted, and while Sortino attempts to fix one of Sharpe’s flaws by focusing on…
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Your Transaction Costs Are Higher Than Your Model Says
Every quant shop has a cost model, and most of them are wrong in the same ways. The errors aren’t…
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Why Backtests Break in Live Trading
Every strategy that looked fine in simulation and then bled money live failed for reasons that were visible before capital…
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Learn Alongside Other Quants
I share strategies, backtests, and lessons I’ve picked up in quant trading, and from time to time other quants and pros contribute their own tutorials and research. If you’d like to get these insights straight to your inbox, stay connected. No nonsense, just honest, practical knowledge from real market experience.