Here, for good readers only :-) — meaning time and patience required — are some interesting readings in the context of trading strategy selection, statistical relevance, correlations, and a few other related topics.
They might be interesting for anyone who likes to look beyond single backtests and think more deeply about how trading strategies should be evaluated.
• The Adaptive Markets Hypothesis (Andrew Lo).
https://www.researchgate.net/publicatio … erspective
Concept: Explains why trading edges are perishable. It justifies our high-turnover replacement model and the 3-month median lifespan of promoted strategies.
• ...and the Cross-Section of Expected Returns (Harvey, Liu, & Zhu).
https://www.researchgate.net/publicatio … ed_Returns
Concept: Addresses the "Data Mining" problem. It supports our 6-KPI "Filter Stack" as a necessary barrier against the thousands of "lucky" backtests generated by automated tools.
• The Deflated Sharpe Ratio (Marcos López de Prado)
https://www.researchgate.net/publicatio … -Normality
Concept: Corrects for "Selection Bias." It validates our rigorous incubation process before capital allocation.
• Does Academic Research Destroy Predictability? (McLean & Pontiff)
https://www.semanticscholar.org/paper/2 … d0a2582415
Concept: Proves that alpha decays post-discovery. This supports our "Strict Thresholds" policy—treating mature strategies with the same skepticism as new ones.
• Portfolio Selection (Harry Markowitz)
https://www.researchgate.net/publicatio … _Selection
Concept: The mathematical root of our 0.80 Correlation Cap. It proves that portfolio risk is driven more by the link between strategies than by individual performance.
• Honey, I Shrunk the Covariance Matrix (Ledoit & Wolf)
https://www.researchgate.net/publicatio … _Selection
Concept: Addresses the instability of live correlations. It is the theoretical backbone for our dynamic monitoring of "Regime Lock" in the Master accounts.
• Stepwise Multiple Testing (Romano & Wolf)
https://ideas.repec.org/p/bge/wpaper/17.html
Concept: (Stable Institutional Mirror) Supports our Hysteresis Loops (PwL/OgI) by proving that consistent performance across multiple stages is the only reliable signal of a lasting edge.
• Sequential Analysis (Abraham Wald)
https://projecteuclid.org/journals/anna … 30491.full
Concept: (Project Euclid Stable Link) Validates our rule by providing a framework for making continuous "Keep/Prune" decisions as new data arrives.
• The 7 Sins of Quantitative Investing (López de Prado)
https://portfoliooptimizationbook.com/b … -sins.html
Concept: A roadmap for avoiding common pitfalls like survivorship and look-ahead bias, supporting our "Lifetime String" data fusion.
• Crowded Trades and Tail Risk (Pedersen & Stein)
https://www.researchgate.net/publicatio … _Tail_Risk
Concept: Discusses how crowded strategies lead to liquidity holes. It justifies our 10% Global Kill-Switch as a safeguard against systemic events.
Enjoy
Vincenzo