Independent research on systematic trading, backtesting, market structure, and trading system engineering.https://wangziqiu.comenhttps://wangziqiu.com/en/research/sp500-drawdown-recoveryhttps://wangziqiu.com/en/research/sp500-drawdown-recoveryA century-scale, reproducible measurement of S&P 500 drawdown risk: 73 ATH-anchored underwater episodes of 5%+ across 24,742 trading days (1927–2026), of which 26 reach 10%+ and 12 reach 20%+. Four elements are treated together that rarely are: counting-convention sensitivity (73 vs 339 episodes of 5%+ on the same data), bootstrap uncertainty on recovery times (median 764 days for 20%+ bears, 95% CI [666, 2310]), Kaplan-Meier survival curves of time under water, and robustness across nominal/real × price/total-return conventions. Recession overlap is the watershed: 10%+ episodes overlapping NBER recessions run to a median of -35% over 988 days, versus -14.3% over 216 days without.Fri, 10 Jul 2026 00:00:00 GMTResearchhttps://wangziqiu.com/en/research/income-scaled-dcahttps://wangziqiu.com/en/research/income-scaled-dcaAn audited counterfactual of income-scaled DCA — contributions start from a $5,000/month income at a 30% rate and grow 5% per calendar year — applied to 26 assets from 2000 to 2026. The design separates a descriptive own-inception view (Primary B) from fair common windows, with W2018 as the main same-window comparison: NVDA leads W2018 XIRR at 70.98% while TSLA leads Primary B at 43.36%, and SPY anchors the benchmark at 12.25% (317 contributions compounding to $4.63M). Severe drawdowns accompany every extreme outcome, and the paper is explicit that an ex-post universe of winners cannot back a forward-looking selection rule.Fri, 10 Jul 2026 00:00:00 GMTResearchhttps://wangziqiu.com/papers/sp500-drawdown-recovery.pdfhttps://wangziqiu.com/papers/sp500-drawdown-recovery.pdfPaper + Slides · Descriptive study · 1927–2026 · bilingualFri, 10 Jul 2026 00:00:00 GMTReportshttps://wangziqiu.com/papers/income-scaled-dca.pdfhttps://wangziqiu.com/papers/income-scaled-dca.pdfPaper + Slides · Counterfactual study · 2000–2026 · bilingualFri, 10 Jul 2026 00:00:00 GMTReportshttps://wangziqiu.com/en/notes/sp500-drawdown-counting-conventionhttps://wangziqiu.com/en/notes/sp500-drawdown-counting-conventionFri, 10 Jul 2026 00:00:00 GMTNoteshttps://wangziqiu.com/en/notes/sp500-recovery-time-uncertaintyhttps://wangziqiu.com/en/notes/sp500-recovery-time-uncertaintyFri, 10 Jul 2026 00:00:00 GMTNoteshttps://wangziqiu.com/en/notes/income-dca-window-picks-winnerhttps://wangziqiu.com/en/notes/income-dca-window-picks-winnerFri, 10 Jul 2026 00:00:00 GMTNoteshttps://wangziqiu.com/en/notes/income-dca-hindsight-universehttps://wangziqiu.com/en/notes/income-dca-hindsight-universeFri, 10 Jul 2026 00:00:00 GMTNoteshttps://wangziqiu.com/en/research/donchian-post-selectionhttps://wangziqiu.com/en/research/donchian-post-selectionA high-fidelity 1-second backtest lab (Python reference + Rust parity) selects a Donchian rider on 2023–2026 that looks strong — +687 index points, profit factor 2.35, a STRONG_GO on MES futures — then refutes it with a 460,800-combination grid on a 19-year out-of-sample window (2004–2022): the champion ranks in the bottom third, the grid median is negative, and the apparent edge is concentrated in 2021–2022. A textbook post-selection-inference artifact, and the signal-layer companion to the SPX 0DTE Donchian negative-result paper.Fri, 26 Jun 2026 00:00:00 GMTResearchhttps://wangziqiu.com/papers/donchian-post-selection.pdfhttps://wangziqiu.com/papers/donchian-post-selection.pdfPaper · 19-year OOS · 460,800-combo grid · bilingualFri, 26 Jun 2026 00:00:00 GMTReportshttps://wangziqiu.com/en/research/cross-asset-performancehttps://wangziqiu.com/en/research/cross-asset-performanceA disciplined, ex-post comparison of realized cross-asset performance (2000–2026, in USD) across 29 assets — equity indices, US stocks, commodities, currencies, cash, and bonds. It is not a strategy or forecast: the contribution is methodological discipline. Equal-window rankings flip the CAGR leader from Tesla to Nvidia; a risk-free-consistent Sharpe lowers headline ratios; intra-window daily drawdown exposes a +11.6% monthly COVID figure as a −38% crash; and significance tests show gold's down-month edge is not significant (p=0.09) while Treasuries' is (p=0.04).Thu, 25 Jun 2026 00:00:00 GMTResearchhttps://wangziqiu.com/papers/cross-asset-performance.pdfhttps://wangziqiu.com/papers/cross-asset-performance.pdfPaper + Slides · Descriptive study · 2000–2026 · bilingualThu, 25 Jun 2026 00:00:00 GMTReportshttps://wangziqiu.com/en/notes/cross-asset-window-traphttps://wangziqiu.com/en/notes/cross-asset-window-trapThu, 25 Jun 2026 00:00:00 GMTNoteshttps://wangziqiu.com/en/notes/monthly-window-hides-the-crashhttps://wangziqiu.com/en/notes/monthly-window-hides-the-crashThu, 25 Jun 2026 00:00:00 GMTNoteshttps://wangziqiu.com/en/notes/defensive-needs-significancehttps://wangziqiu.com/en/notes/defensive-needs-significanceThu, 25 Jun 2026 00:00:00 GMTNoteshttps://wangziqiu.com/papers/donchian-0dte-negative-result.pdfhttps://wangziqiu.com/papers/donchian-0dte-negative-result.pdfPaper + Slides · v5 · full-population tick validationMon, 22 Jun 2026 00:00:00 GMTReportshttps://wangziqiu.com/papers/macro-recession-overlay.pdfhttps://wangziqiu.com/papers/macro-recession-overlay.pdfPaper + Slides · Walk-forward validated (2006–2026)Mon, 22 Jun 2026 00:00:00 GMTReportshttps://wangziqiu.com/en/research/weathervane-tsmomhttps://wangziqiu.com/en/research/weathervane-tsmomA fully-reproducible, in-sample audit of a volatility-targeted time-series-momentum overlay that asks whether an individual investor can improve on holding an equity index without giving it up. Implementation friction is quantified layer by layer — strategy (ETF, excess Sharpe 0.57, −0.04 correlation to SPY, 6/6 crisis windows), instrument (CME futures, 0.90–0.97 strict-pair correlation), and contract granularity (327 bp/yr tracking error at a $500K account, dominated by instrument basis rather than rounding). Every number is injected from the repository's outputs; all results are in-sample, with failed criteria, a 100× mis-scaling, and falsified predictions disclosed as results.Fri, 19 Jun 2026 00:00:00 GMTResearchhttps://wangziqiu.com/en/research/fractal-breakout-propagationhttps://wangziqiu.com/en/research/fractal-breakout-propagationA multi-version study of how breakouts propagate across 1m/5m/15m timeframes, with three strategy variants of increasing complexity, Black-Scholes option pricing, and both 20-year and out-of-sample analyses. The signal is mapped to SPXW 0DTE option exposure, with VIX-regime filtering in the implementation kit.Fri, 19 Jun 2026 00:00:00 GMTResearchhttps://wangziqiu.com/papers/weathervane-tsmom.pdfhttps://wangziqiu.com/papers/weathervane-tsmom.pdfPaper + Slides · Working paper v0.1 · in-sample · bilingualFri, 19 Jun 2026 00:00:00 GMTReportshttps://wangziqiu.com/papers/fractal-breakout-propagation.pdfhttps://wangziqiu.com/papers/fractal-breakout-propagation.pdfBacktest reports · System overview · 20-year · out-of-sampleFri, 19 Jun 2026 00:00:00 GMTReportshttps://wangziqiu.com/en/notes/implementation-gaphttps://wangziqiu.com/en/notes/implementation-gapFri, 19 Jun 2026 00:00:00 GMTNoteshttps://wangziqiu.com/en/notes/legislate-arithmetic-not-capitalhttps://wangziqiu.com/en/notes/legislate-arithmetic-not-capitalFri, 19 Jun 2026 00:00:00 GMTNoteshttps://wangziqiu.com/en/notes/look-ahead-unit-testhttps://wangziqiu.com/en/notes/look-ahead-unit-testFri, 19 Jun 2026 00:00:00 GMTNotes