Scope the decision
We agree the decision to be made, the evidence required, access, and the people involved before the engagement begins.
Engagement
Strategy and backtest review
An independent review of a strategy before it takes capital - or after it stops behaving the way the backtest said it would. I look at the research, the data, and the code behind it, not just the equity curve. The output is a written assessment you can hand to an IC, an allocator, or your own team.
How it works
Start with the decision. Examine the evidence. Put the conclusion in writing.
Review the evidence
I work through the research, data, code, systems, and claims relevant to the agreed scope.
Put the answer in writing
Findings, supporting evidence, priorities, and unresolved questions are delivered in writing and discussed with your team.
Scope
What I review
Data integrity
Sources, point-in-time correctness, corporate actions, survivorship.
In practice, this is where most reviews find their first material issue.
Lookahead and leakage
Timestamp alignment, feature construction, restatement handling.
Cost and execution model
Spread, impact, borrow, fill assumptions against realistic venues.
Many otherwise convincing backtests fail here first, at realistic size.
Statistical robustness
Parameter sensitivity, multiple-testing burden, out-of-sample discipline.
Capacity and liquidity
The AUM level at which the edge stops paying for itself.
Research-to-production parity
Whether the live system computes what the backtest computed.
Divergence between research and production code is common and rarely instrumented.
Output
Deliverables
- 01
Written review (15-25 pages): findings, severity-ranked, with the evidence behind each
- 02
Reproduced backtest under my own assumptions, with the delta explained
- 03
Prioritised remediation list - what to fix before capital, what can wait
- 04
90-minute walkthrough with your team
Decision
Outcome
You get a defensible answer to one question: does the available evidence support deploying capital, and under what assumptions? The review either provides independent evidence for proceeding within defined limits or identifies material weaknesses before they surface in live trading.
Engagement
Start with the decision you need to make.
2-3 weeks. From $7,500. Final scope and fee are confirmed after a 30-minute call.