tag:christianmacion26.github.io,2026:feed:projects Christian T. Macion — Projects Quant research, AI systems, OSS. Newest first. 2026-07-09T18:12:54.543Z Christian T. Macion christianmacion26@gmail.com https://christianmacion26.github.io/ tag:christianmacion26.github.io,2026:project:quant/09-lookahead-bias-audit Look-Ahead Bias Audit (the shift test) 2026-06-18T00:00:00.000Z A leak inflates Sharpe 0.59 → 5.07; the shift test exposes it as 88% phantom. tag:christianmacion26.github.io,2026:project:quant/08-backtest-engine-costs Backtest Engine + Cost Model 2026-05-28T00:00:00.000Z High-turnover signal wins gross (0.20 > 0.13) but loses net of cost — break-even 20 bps. tag:christianmacion26.github.io,2026:project:quant/07-macro-regime-overlay Macro / Volatility-Regime Overlay 2026-05-10T00:00:00.000Z Vol-managed exposure: Sharpe 0.64 → 0.67, max DD −58% → −42%. tag:christianmacion26.github.io,2026:project:quant/06-funding-carry Crypto Funding-Carry 2026-04-05T00:00:00.000Z Funding +11.9% annualized premium; fade IS 1.11 → OOS −0.05 (decayed post-2023). tag:christianmacion26.github.io,2026:project:ai/06-slop-scanner slop-scanner 2026-03-22T00:00:00.000Z 13-metric literature-grounded AI-output quality gate — drove a real draft from HEAVY (81) to CLEAN (3). tag:christianmacion26.github.io,2026:project:ai/05-reflect-revise reflect-revise 2026-03-01T00:00:00.000Z Reflection-loop agent — mean SLOP 127.5 → 14.0 across drafts, 3/4 improved, 1/4 honest no-progress halt. tag:christianmacion26.github.io,2026:project:quant/05-pairs-cointegration Pairs Trading via Cointegration (BTC / ETH) 2026-02-18T00:00:00.000Z ADF −2.11 (not cointegrated), half-life 208 d — the fade loses, as the test predicts. tag:christianmacion26.github.io,2026:project:ai/04-eval-mcp-server eval-mcp-server 2026-02-04T00:00:00.000Z MCP server exposing the slop-evaluation gate over Tools, Resources, and Prompts — 20/20 conformance, 100% round-trip parity. tag:christianmacion26.github.io,2026:project:quant/04-variance-risk-premium The Variance Risk Premium (VIX vs Realized) 2026-01-25T00:00:00.000Z Implied > realized 85% of 36 yrs; predicts returns, Newey-West t = +6.5. tag:christianmacion26.github.io,2026:project:ai/03-judge-harness judge-harness 2026-01-12T00:00:00.000Z LLM-as-judge pipeline validated against human raters — Cohen's κ = 0.58 with bootstrap CI and position-bias measured. tag:christianmacion26.github.io,2026:project:quant/03-timeseries-momentum-voltarget Time-Series Momentum + Vol Targeting 2025-12-20T00:00:00.000Z Vol-targeting lifts Sharpe 0.27 → 0.39 and halves max DD (−62% → −30%). tag:christianmacion26.github.io,2026:project:ai/02-toolcall-agent toolcall-agent 2025-12-08T00:00:00.000Z ReAct-style tool-calling agent with OTel traces, fault injection, and 100% tool/arg correctness. tag:christianmacion26.github.io,2026:project:ai/01-rag-recall rag-recall 2025-11-15T00:00:00.000Z RAG service that proves its own retrieval — recall@3 = 0.886, MRR@3 = 0.805 with offline stdlib TF-IDF retriever. tag:christianmacion26.github.io,2026:project:quant/02-cross-sectional-momentum Cross-Sectional Momentum (18 coins) 2025-10-15T00:00:00.000Z IS Sharpe 0.91 → OOS −0.03 — an honest decay; bootstrap CI straddles zero. tag:christianmacion26.github.io,2026:project:quant/01-deflated-sharpe Multiple Testing & the Deflated Sharpe Ratio 2025-09-20T00:00:00.000Z Best-of-160 BTC rule: IS Sharpe 1.14 is only 1.24× the pure-noise expectation — DSR = 0.70 (fail).