backtesting
The Alpha Break-Even Cost: Where Trading Edges Go to Die
A momentum strategy returned 9.17% at zero costs. At 35 bps per trade, its edge vanished. At 50 bps, 49% of the promised wealth was destroyed.
backtesting
equity risk premium
The Equity Risk Premium Is Not a Number — It Is a Distribution
The realized ERP averaged 12.15% over rolling 10-year windows from 2007-2026 — nearly triple the 4.33% implied estimate. But 17% of years went negative.
sharpe ratio
Beyond Sharpe: 6 Metrics That Reveal a Strategy’s True Risk
Three strategies, same Sharpe ratio, wildly different risk. Six metrics that reveal what Sharpe misses.