Technical notes
Notes
Lower-friction technical notes on backtesting, validation, execution assumptions, and trading system design.
- Selection bias in 0DTE breakout backtests: how full-population validation overturned four positive drafts
- Black-Scholes with VIX1D under-prices ATM 0DTE entry premium by roughly 85%
- Dual-clock backtesting: minute-level signals with a 1-second risk clock
- Cross-day rolling Donchian channels for valid day-one signals
- Option-proxy design: BSM, delta proxy, and VIX-scaled IV versus real SPXW quotes
- Walk-forward, OOS, Deflated Sharpe, and PBO: overfitting controls that matter
- Risk invariants and execution safety in live 0DTE systems
- Why next-open execution can still be optimistic