The Zero Beneath the Zero What we found when we looked beneath the most quoted statistic in finance, and what it means for how we understand markets. The most quoted statistic in quantitative finance is the autocorrelation of daily returns....
When Convexity Cuts Both Ways After two consecutive months of universal gains across the trend-following peer group, March 2026 broke the streak. Every one of the seven benchmarks tracked in the Battle of the Trend Following Indexes finished the month...
A conversation has been circulating in the managed futures community recently, and it deserves closer examination. The argument runs something like this: broad diversification across hundreds of markets delivers diminishing returns, short-term models are a drag on performance, risk controls...
The Verdict The zero is the most important number in finance. Beneath it lies a system built from feedback, shaped by policy, and running hotter than the textbooks allow. This series began with a number. The near-zero autocorrelation that appears...
The Escalator and the Elevator Why long trades and short trades require independent calibration, and what the data reveals when you test it. Episode 7 ended with a question. Three forces explain the decline in simple trend-following returns: regime suppression,...
The Power of Process: Why Markets Are Not What You Think They Are A five-part series that builds the case for a completely different way of seeing financial markets. The argument is not subtle. Neither are the implications. Watch the...
The Paradox The feedback structure persists. Simple trend-following returns do not. This paradox is the most important finding in the series. Its resolution is more nuanced than anyone expected. This episode was supposed to be a celebration. Six episodes of...
“Relief, Not Resolution: Equities and Bitcoin Surge, Energy Reverses, and the Barometer Falls to 48%“ Trend Following Weekly Report Spectacular equity gains. A dramatic energy reversal. And a barometer that fell seven percentage points in the same week that Bitcoin...
The Fingerprint The two forces are not symmetric. Positive feedback is gentle and sustained. Negative feedback is intense and brief. The ratio between them is the fingerprint that distinguishes every asset class. The feedback structure has been described as two...
The Structure Persists Forty years of algorithmic trading, quantitative finance, and massive capital deployment have not diminished the feedback structure. The adaptive markets hypothesis predicts convergence. The data shows none. There are exactly three possible states for the feedback structure...
