Quantitative Trading

An Unexpected Discovery While analyzing 30+ live trades from our trading system, I stumbled upon a phenomenon rarely discussed in textbooks: there’s a strong inverse relationship between holding time and win rate. Holding Time Trades Win Rate Avg PnL/Trade 0-2 hours 20 65% +$1.56 2-6 hours 5 20% -$3.68 6-12 hours 2 50% -$1.23 12-24 hours 7 14.3% +$0.47 You read that right: trades closed within 2 hours have a 65% win rate, but those exceeding 2 hours plummet to 20%. ...

A profitable strategy suddenly stops working? It might not be the strategy — the market regime changed. Here’s how we detect market states using ADX, BB Width, and ATR, and automatically switch strategies.

Most traders spend 90% of their time finding signals and 10% thinking about position size. But math shows: the same strategy with different position sizing can produce results that differ by 10x.

We developed a mean reversion strategy. Backtesting showed 3 out of 8 combinations hitting 100% win rate. Then we ran Out-of-Sample validation, and 100% crashed to 25%. Here’s what happened.

We spent two weeks building a complete quantitative trading system from scratch — four strategies, eight Walk-Forward validations, Z-score statistical tests, Paper Trading. This article documents the entire process, including the biggest pitfalls we encountered.