Position Sizing · Methodology
The Kelly Criterion Said Bet 3,000x. The Interesting Part Is Why It's Wrong.
Log-growth sizing applied to a live trading book: why the naive answer is a data-completeness alarm, why the formula's decisive input is unobservable, and the three situations where Kelly earns its seat back.
Read the analysis → Model Validation · Case StudyWhy "Backtest Says It Works" Isn't Enough — An Independent Model Review Case Study
How a plausible-looking trading rule was pressure-tested: selection bias, regime decomposition, out-of-sample splits, PBO overfitting checks, and measuring real fill slippage instead of assuming it.
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