Engineering What Survives
Writing
Reproducible experiments about AI, markets and probability—and the useful information hiding inside failed results.
My Football Model Passed Validation. A Five-Check Audit Killed It.
Val away CLV was +152 bps, confidence interval excluded zero. Then I ran a five-check forensic audit: opening-line baseline, Brier skill, feature contamination, incremental CLV, and season stability. Four failed.
My Crypto Backtest Had a Sharpe of 13.4. Then I Added Trading Costs
The same cross-sectional reversal signal fell from a pre-transaction-cost Sharpe of 13.44 to a net Sharpe of -40.13. Its trading bill was four times its gross PnL.