Quant trading, with the receipts.

I trade crypto full-time — arbitrage, market making, CTA, and some high-frequency work. This is where the full backtests, reproducible test scripts, and an unedited live record go — including the parts that lost money.

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Strategies

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Data RESEARCH

币安 L2 盘口数据完全指南：免费能拿到什么、自录要怎么写、怎么验证数据是真的

实测币安官方数据归档的十个数据类型与真实覆盖范围，说清 bookDepth 的"流动性分布"与逐档 L2 的区别，并给出自录 L2 的完整采集方案——含 U/u 序列号校验、断连恢复、数据自洽性验证。

2026-09-17

Microstructure RESEARCH

事件合约量化研究纪实：四条被否掉的路，和一个 56% 的边际

一套短周期事件合约策略的完整研究纪实：十条研究军规、四个被迫换方向的阶段、八个真实被否掉的方向、以及诚实的结论——真实前向约 56%–57.5%，薄、正，但统计上还不显著。

2026-09-17

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