Cordamente

Rigor

How the work gets done

The author's own strategies, run with the author's own capital. Shown without the signals, code or parameters behind them. Not a fund, not advice.

Compliance

Disclosure

  • Cordamente is not a registered investment adviser, broker-dealer, fund, or any other regulated entity.
  • Nothing on this site constitutes investment advice, a recommendation, a solicitation, or an offer to buy or sell any security or derivative.
  • All content is informational and reflects the author's personal research and opinions.
  • Past performance, including backtested performance, is not indicative of future results. Backtest performance is hypothetical and has inherent limitations.
  • The strategies discussed involve risk of loss, including total loss of capital.
  • Readers should consult a qualified financial professional before making any investment decision.

Methodology

How the numbers are produced

Every return on this site is net of all of this

Commissions
About $2.04 per side on futures, roughly $4 a round turn. Interactive Brokers retail per-share on equities.
Exchange & regulatory fees
Included in the commission model, not stripped out.
Slippage
1–2 ticks on every futures fill. Percentage-of-volume on equities where size makes it material.
Stop-fill slippage
Calibrated against actual broker fills rather than the platform default, which runs optimistic.
Margin interest
Tiered broker rates charged on any levered exposure, for every day it is held.
Cash interest
Idle cash earns the T-bill yield of the day. Credited, not assumed away.
Capacity
Positions are sized to what a retail account can actually execute. Where capacity is a limit, it is stated on the strategy page.

The rule is to model costs pessimistically rather than optimistically. Where a real fill would likely be better than the modeled one, the backtest still takes the worse number.

Backtest platform

Every backtest runs on QuantConnect. Results are pulled from their API, not retyped by hand.

Market data

Futures roll on open interest, so indicators stay stable across contracts. Equities use survivorship-bias-free data: companies that later died are still in the universe on the dates they traded.

Fill assumptions

Market orders fill at the next bar's open, limits at the limit price when crossed with volume, stops at the trigger plus slippage.Stop-fill slippage is not the platform default, which runs optimistic on liquid futures. Modeled fills are compared against actual broker fills on the same signals, and the number is tightened until they match. The backtests use the observed cost, not the one the platform assumes.

Slippage

Futures: 1–2 ticks per fill, on top of commissions. A small order usually fills tighter than that, which is the point. Equities: percentage-of-volume where size makes it matter.

Commissions

About $2.04 per side on futures, roughly $4 a round turn. Retail per-share on equities. Anything needing better than retail execution is flagged on the strategy page.

Financing and idle cash

Leverage is charged margin interest for every day it is held, so a strategy that compounds on borrowed money pays for it inside the return you see. Idle cash earns the T-bill yield rather than sitting at zero. Over twenty years both matter.

Position sizing

Volatility-targeted on futures, fraction-of-equity on stocks, leverage capped at what the broker actually permits. Nothing is sized beyond what a retail account could execute.

Robustness

From idea to live capital

Eight stages, deliberately slow. Most ideas die before stage four, and the ones that fail get written up and shelved.

  1. 01

    Concept

    From a paper, from the data, or from a strategy that already works.

  2. 02

    Initial backtest

    Reproduced as published. No tuning yet.

  3. 03

    Out-of-sample validation

    Re-run on a window that was not used to build it. Edges that only exist in-sample die here.

  4. 04

    Pessimistic cost modeling

    Retail-grade slippage and commissions, not institutional.

  5. 05

    Parameter robustness

    A ±25% sweep on every parameter. An edge that needs an exact value is a fit, not an edge.

  6. 06

    Multi-instrument or multi-regime check

    A second instrument or a second regime. One symbol in one window is not evidence.

  7. 07

    Paper trading

    Weeks on a real broker paper account, checking that fills match the model.

  8. 08

    Live deployment

    Small capital first. It grows only as live results track the model.