The Variance Risk Premium (VIX vs Realized)
Implied > realized 85% of 36 yrs; predicts returns, Newey-West t = +6.5.
- Years VRP > 085%
- Newey-West t-stat+6.5
- Sample window1990 – 2025
Jan 2026
Read →publications/ · public work log · 23 artifacts
Things I have written, built, and said in public.
Every artifact below is either an OSS repo, a memo, a workbook, or a public talk. No proprietary data sources. No NDA-protected content.
Research papers · 9 quant projects
Public-data systematic research.
2026
Pairs Trading via Cointegration (BTC / ETH)
ADF −2.11 (not cointegrated), half-life 208 d — the fade loses, as the test predicts.
- ADF test statistic−2.11
- Half-life (estimated)208 days
- OOS Sharpe (fade)≈ 0
Feb 2026
Read →Crypto Funding-Carry
Funding +11.9% annualized premium; fade IS 1.11 → OOS −0.05 (decayed post-2023).
- Annualized funding+11.9%
- Fade IS Sharpe1.11
- Fade OOS Sharpe−0.05
Apr 2026
Read →Macro / Volatility-Regime Overlay
Vol-managed exposure: Sharpe 0.64 → 0.67, max DD −58% → −42%.
- Sharpe (base)0.64
- Sharpe (regime overlay)0.67
- Max DD (base → overlay)−58% → −42%
May 2026
Read →Backtest Engine + Cost Model
High-turnover signal wins gross (0.20 > 0.13) but loses net of cost — break-even 20 bps.
- Sharpe (gross)0.20
- Sharpe (net, realistic)< 0
- Break-even cost~20 bps / RT
May 2026
Read →Look-Ahead Bias Audit (the shift test)
A leak inflates Sharpe 0.59 → 5.07; the shift test exposes it as 88% phantom.
- Clean Sharpe0.59
- Leaked Sharpe5.07
- Phantom % detected88%
Jun 2026
Read →2025
Multiple Testing & the Deflated Sharpe Ratio
Best-of-160 BTC rule: IS Sharpe 1.14 is only 1.24× the pure-noise expectation — DSR = 0.70 (fail).
- Best-of-160 in-sample Sharpe1.14
- Pure-noise expectation0.92
- Deflated Sharpe Ratio0.70
Sep 2025
Read →Cross-Sectional Momentum (18 coins)
IS Sharpe 0.91 → OOS −0.03 — an honest decay; bootstrap CI straddles zero.
- In-sample Sharpe0.91
- Out-of-sample Sharpe−0.03
- OOS 95% CIstraddles 0
Oct 2025
Read →Time-Series Momentum + Vol Targeting
Vol-targeting lifts Sharpe 0.27 → 0.39 and halves max DD (−62% → −30%).
- Sharpe (raw)0.27
- Sharpe (vol-targeted)0.39
- Max DD (raw → targeted)−62% → −30%
Dec 2025
Read →OSS projects · 6 AI builds
Multi-agent LLM systems with eval-first discipline.
2026
judge-harness
LLM-as-judge pipeline validated against human raters — Cohen's κ = 0.58 with bootstrap CI and position-bias measured.
- Cohen's κ (vs human)0.58
- Pass rate0.60 ± 0.02
- Position bias17%
eval-mcp-server
MCP server exposing the slop-evaluation gate over Tools, Resources, and Prompts — 20/20 conformance, 100% round-trip parity.
- MCP conformance20 / 20
- Round-trip parity100%
- Primitives exposed3 / 3
reflect-revise
Reflection-loop agent — mean SLOP 127.5 → 14.0 across drafts, 3/4 improved, 1/4 honest no-progress halt.
- Mean SLOP score127.5 → 14.0
- Drafts improved3 / 4
- Honest no-progress halts1 / 4
slop-scanner
13-metric literature-grounded AI-output quality gate — drove a real draft from HEAVY (81) to CLEAN (3).
- Real-draft improvement81 → 3
- Metrics13
- External dependencies0
2025
rag-recall
RAG service that proves its own retrieval — recall@3 = 0.886, MRR@3 = 0.805 with offline stdlib TF-IDF retriever.
- recall@30.886
- MRR@30.805
- Mean faithfulness1.00
- Hallucination flags0 / 35
toolcall-agent
ReAct-style tool-calling agent with OTel traces, fault injection, and 100% tool/arg correctness.
- Tool / arg correctness100%
- Injected faults recovered6 / 6
- Loops without bound0
Workbooks · long-form
Three deep-dive workbooks (in progress).
Long-form workbooks that consolidate method, code, and exercises. Not yet published — drafts available on request.
AI Architecture & Multi-Agent Systems Workbook
11-agent orchestrator, eval harness, MCP server, model routing
In progress — early-reader draft; full PDF available on request (non-public, gated by topic)
Statistical Modeling for Systematic Trading Workbook
multiple testing, walk-forward, block-bootstrap, deflated Sharpe, cost realism
In progress — early-reader draft; full PDF available on request (non-public, gated by topic)
STA Tier-1 CTA Curriculum Workbook
technical analysis fundamentals through advanced pattern recognition
In progress — early-reader draft; full PDF available on request (non-public, gated by topic)
Press & recognition
Public talks, lectures, and recognitions.
- 2024
PSHS-SMC alumni speaker — Philippine Science High School Southern Mindanao
Venue: PSHS-SMC Alumni Talk SeriesTalk on AI engineering and the educational path from PSHS to AI/quant careers. ~80 attendees (alumni + current students).
- 2025
University guest lecturer — University of Southeastern Philippines (USeP)
Venue: USeP College of EngineeringGuest lecture on systematic trading research and AI for engineering students. Course: CpE / EE 5th-year elective.
- 2025
STA Tier-1 CTA Program completion — Society of Technical Analysts of the Philippines
Venue: STA PhilippinesTier-1 Certified Technical Analyst program, completed Dec 2025. Final capstone: regime-classification case study on ASEAN equities.
- 2025
BIDA × Meta AIccelerate 2025 — 5-day hybrid training, awarded Dec 17 2025
Venue: BIDA × Bayan Academy × MetaSelected for the BIDA × Bayan Academy × Meta AIccelerate 2025 cohort (Nov 12–21 2025). Five-day hybrid training on applied AI for MSMEs; co-signed certificate from BIDA, Bayan Academy, and Meta Philippines.
- 2026
CTA program graduate — Society of Technical Analysts of the Philippines
Venue: STA PhilippinesCompleted the STA Tier-1 Certified Technical Analyst program (Jan 19 2026, cert #260197). Photographic proof on the record — same image used in the hero signature strip.
Want a specific paper or talk?
Email me the topic and I'll point you to the artifact (PDF, video, repo) within 24 hours.