Hōrōshi バガボンド
@katanaquant.bsky.social
Systematic Trader | Retail | OpSec | Vagabond | No Financial Advice
blog.katanaquant.com
blog.katanaquant.com
Here's a quick little python script to scrape historical orderbook data from Bybit.
Nothing fancy but gets the job done
Link 👇
Nothing fancy but gets the job done
Link 👇
September 25, 2025 at 11:29 AM
Here's a quick little python script to scrape historical orderbook data from Bybit.
Nothing fancy but gets the job done
Link 👇
Nothing fancy but gets the job done
Link 👇
Another StrategyPattern in action!
I refactored my F2P backtester's slippage logic, moving from a fixed percentage to a quick and dirty rolling, volatility based estimate.
Code & details in the article.
Link in replies
I refactored my F2P backtester's slippage logic, moving from a fixed percentage to a quick and dirty rolling, volatility based estimate.
Code & details in the article.
Link in replies
September 18, 2025 at 1:45 PM
Another StrategyPattern in action!
I refactored my F2P backtester's slippage logic, moving from a fixed percentage to a quick and dirty rolling, volatility based estimate.
Code & details in the article.
Link in replies
I refactored my F2P backtester's slippage logic, moving from a fixed percentage to a quick and dirty rolling, volatility based estimate.
Code & details in the article.
Link in replies
To build robust, realistic backtests, you must account for all trading costs like commissions, holding costs, slippage, etc.
We migrated our fees and funding logic to a more interface-based backtester, designing it with modular, swappable components.
Link in replies 👇
We migrated our fees and funding logic to a more interface-based backtester, designing it with modular, swappable components.
Link in replies 👇
July 18, 2025 at 12:51 PM
To build robust, realistic backtests, you must account for all trading costs like commissions, holding costs, slippage, etc.
We migrated our fees and funding logic to a more interface-based backtester, designing it with modular, swappable components.
Link in replies 👇
We migrated our fees and funding logic to a more interface-based backtester, designing it with modular, swappable components.
Link in replies 👇
While migrating our pre-cost SR calculations to our new backtester we decoupled instruments, trading rules, features, signals, PNL & SR into reusable components and caught a critical parameter bug by using proper testing techniques.
Link in replies 👇
Link in replies 👇
June 19, 2025 at 8:45 AM
While migrating our pre-cost SR calculations to our new backtester we decoupled instruments, trading rules, features, signals, PNL & SR into reusable components and caught a critical parameter bug by using proper testing techniques.
Link in replies 👇
Link in replies 👇
Your home IP address is like a permanent ID tag on everything you do online. While VPNs aren't perfect, here's why they're still essential for basic privacy in 2025 - and how to choose one that actually protects your data.
Read more👇
Read more👇
June 6, 2025 at 12:46 PM
Your home IP address is like a permanent ID tag on everything you do online. While VPNs aren't perfect, here's why they're still essential for basic privacy in 2025 - and how to choose one that actually protects your data.
Read more👇
Read more👇
This post discusses improving the design of our backtesters position rebalancing logic by introducing proper interfaces, breaking down complex functions and implementing assert tests while decoupling components like instruments, trading rules, features, and signals.
Link 👇
Link 👇
May 21, 2025 at 9:15 AM
This post discusses improving the design of our backtesters position rebalancing logic by introducing proper interfaces, breaking down complex functions and implementing assert tests while decoupling components like instruments, trading rules, features, and signals.
Link 👇
Link 👇
This week we're exploring common OOP buzzwords like Inheritance, Composition & SOLID Principles while refactoring our backtesters data sources.
Turns out it's not really that hard to decouple components, build clean interfaces & make code more maintainable
Link in replies 👇
Turns out it's not really that hard to decouple components, build clean interfaces & make code more maintainable
Link in replies 👇
May 9, 2025 at 10:13 AM
This week we're exploring common OOP buzzwords like Inheritance, Composition & SOLID Principles while refactoring our backtesters data sources.
Turns out it's not really that hard to decouple components, build clean interfaces & make code more maintainable
Link in replies 👇
Turns out it's not really that hard to decouple components, build clean interfaces & make code more maintainable
Link in replies 👇
Duplicated code is a developers nightmare. Software requirements change and searching for the same implementation in multiple components slows you down unnecessarily.
This weeks article illustrates how to tackle it using refactoring on our current backtester.
Link in replies 👇
This weeks article illustrates how to tackle it using refactoring on our current backtester.
Link in replies 👇
Refactoring - Part II
Porting Over Backtester Logic
blog.katanaquant.com
April 30, 2025 at 2:05 PM
Duplicated code is a developers nightmare. Software requirements change and searching for the same implementation in multiple components slows you down unnecessarily.
This weeks article illustrates how to tackle it using refactoring on our current backtester.
Link in replies 👇
This weeks article illustrates how to tackle it using refactoring on our current backtester.
Link in replies 👇
Working with code can be a pain. You change some things and nothing's working anymore. All of a sudden u'r wasting time on an hours long witch-hunt for bugs.
This article gives a high level introto refactoring and what it's all about using our current backtester as example.
Link in the replies 👇
This article gives a high level introto refactoring and what it's all about using our current backtester as example.
Link in the replies 👇
April 25, 2025 at 10:02 AM
Working with code can be a pain. You change some things and nothing's working anymore. All of a sudden u'r wasting time on an hours long witch-hunt for bugs.
This article gives a high level introto refactoring and what it's all about using our current backtester as example.
Link in the replies 👇
This article gives a high level introto refactoring and what it's all about using our current backtester as example.
Link in the replies 👇
A common error when backtesting is expecting to get filled exactly at the close price without accounting for slippage.
This article shows how to account for slippage during execution and PNL calculations.
(Link in reply)
This article shows how to account for slippage during execution and PNL calculations.
(Link in reply)
April 11, 2025 at 9:25 AM
A common error when backtesting is expecting to get filled exactly at the close price without accounting for slippage.
This article shows how to account for slippage during execution and PNL calculations.
(Link in reply)
This article shows how to account for slippage during execution and PNL calculations.
(Link in reply)
How to bring transaction costs of a continuous signal down with a rebalancing error threshold.
Link in replies 👇
Link in replies 👇
March 24, 2025 at 12:03 PM
How to bring transaction costs of a continuous signal down with a rebalancing error threshold.
Link in replies 👇
Link in replies 👇
We've upgraded the backtest and added very simple turnover and funding calculations.
We'll improve these in the future after we've worked our way through all concepts mentioned in the original article.
Link to article is in the comments 👇
We'll improve these in the future after we've worked our way through all concepts mentioned in the original article.
Link to article is in the comments 👇
March 17, 2025 at 8:47 AM
We've upgraded the backtest and added very simple turnover and funding calculations.
We'll improve these in the future after we've worked our way through all concepts mentioned in the original article.
Link to article is in the comments 👇
We'll improve these in the future after we've worked our way through all concepts mentioned in the original article.
Link to article is in the comments 👇
Our very first backtest.
Even though this isn't nearly the end of it, it already highlights some of the most common pitfalls - mainly cost considerations - a lot of people get wrong when backtesting
👇
Even though this isn't nearly the end of it, it already highlights some of the most common pitfalls - mainly cost considerations - a lot of people get wrong when backtesting
👇
February 24, 2025 at 10:26 AM
Our very first backtest.
Even though this isn't nearly the end of it, it already highlights some of the most common pitfalls - mainly cost considerations - a lot of people get wrong when backtesting
👇
Even though this isn't nearly the end of it, it already highlights some of the most common pitfalls - mainly cost considerations - a lot of people get wrong when backtesting
👇
Security isn't just a buzzword, it's key to Maslow's Safety Needs. Yet so many don't take it as seriously as they should.
This blogpost highlights why prioritizing OpSec is so crucial and shows you how to set up a secure Linux distro as your home base.
open.substack.com/pub/katanaqu...
This blogpost highlights why prioritizing OpSec is so crucial and shows you how to set up a secure Linux distro as your home base.
open.substack.com/pub/katanaqu...
OpSec 101 - Part I
The Basics
open.substack.com
February 10, 2025 at 11:11 AM
Security isn't just a buzzword, it's key to Maslow's Safety Needs. Yet so many don't take it as seriously as they should.
This blogpost highlights why prioritizing OpSec is so crucial and shows you how to set up a secure Linux distro as your home base.
open.substack.com/pub/katanaqu...
This blogpost highlights why prioritizing OpSec is so crucial and shows you how to set up a secure Linux distro as your home base.
open.substack.com/pub/katanaqu...
We turned our first trading rule - a simple EMA 8-32 Crossover - into a continuous forecast using historical prices from our datahub.
open.substack.com/pub/katanaqu...
open.substack.com/pub/katanaqu...
Turning Trading Rule Signals Into Forecasts
Table Of Contents
open.substack.com
January 26, 2025 at 12:51 PM
We turned our first trading rule - a simple EMA 8-32 Crossover - into a continuous forecast using historical prices from our datahub.
open.substack.com/pub/katanaqu...
open.substack.com/pub/katanaqu...
Indexing your database of historical prices - or any db really - should be common sense.
It's relatively easy and makes searching so much faster!
Here's a tutorial on how to use a B-tree to speed up pulling data by multiple orders of magnitude.
open.substack.com/pub/katanaqu...
It's relatively easy and makes searching so much faster!
Here's a tutorial on how to use a B-tree to speed up pulling data by multiple orders of magnitude.
open.substack.com/pub/katanaqu...
A Dockerized Crypto Data Hub - Part II
Why You Should Index Your Database
open.substack.com
January 17, 2025 at 11:21 AM
Indexing your database of historical prices - or any db really - should be common sense.
It's relatively easy and makes searching so much faster!
Here's a tutorial on how to use a B-tree to speed up pulling data by multiple orders of magnitude.
open.substack.com/pub/katanaqu...
It's relatively easy and makes searching so much faster!
Here's a tutorial on how to use a B-tree to speed up pulling data by multiple orders of magnitude.
open.substack.com/pub/katanaqu...
Structuring your trading stack around services makes mixing & matching different tech easy.
Here's a quick (and dirty) example of how to use Docker to build a modular & flexible crypto EOD prices datahub.
open.substack.com/pub/katanaqu...
Here's a quick (and dirty) example of how to use Docker to build a modular & flexible crypto EOD prices datahub.
open.substack.com/pub/katanaqu...
A Dockerized Crypto Data Hub - Part I
Quick & Dirty Setup
open.substack.com
December 15, 2024 at 7:34 AM
Structuring your trading stack around services makes mixing & matching different tech easy.
Here's a quick (and dirty) example of how to use Docker to build a modular & flexible crypto EOD prices datahub.
open.substack.com/pub/katanaqu...
Here's a quick (and dirty) example of how to use Docker to build a modular & flexible crypto EOD prices datahub.
open.substack.com/pub/katanaqu...
Overfitting is likely the most common mistake when backtesting.
Inflated results lead to costly mistakes in live trading.
Here's a basic guide on how to create and use synthetic prices to avoid data-snooping bias when designing trading rules. For free!
open.substack.com/pub/katanaqu...
Inflated results lead to costly mistakes in live trading.
Here's a basic guide on how to create and use synthetic prices to avoid data-snooping bias when designing trading rules. For free!
open.substack.com/pub/katanaqu...
Synthetic Financial Data - Part I
Price Data
open.substack.com
December 8, 2024 at 7:57 AM
Overfitting is likely the most common mistake when backtesting.
Inflated results lead to costly mistakes in live trading.
Here's a basic guide on how to create and use synthetic prices to avoid data-snooping bias when designing trading rules. For free!
open.substack.com/pub/katanaqu...
Inflated results lead to costly mistakes in live trading.
Here's a basic guide on how to create and use synthetic prices to avoid data-snooping bias when designing trading rules. For free!
open.substack.com/pub/katanaqu...
The fundamental bedrock of trading (or betting of any kind): Expected Value
katanaquant.com/blog/risk-ma...
katanaquant.com/blog/risk-ma...
Risk Management For Trading - Part I - Expected Value | Blog | KatanaQuant.com
The blog post argues that trading is often mislabeled as excessively risky due to its comparison to gambling, but through understanding and applying concepts such as probability, risk versus reward, a...
katanaquant.com
December 1, 2024 at 5:41 PM
The fundamental bedrock of trading (or betting of any kind): Expected Value
katanaquant.com/blog/risk-ma...
katanaquant.com/blog/risk-ma...
Backtesting is a crucial step in strategy development but can do a lot of harm when done wrong.
Relying on inflated results leads to costly mistakes.
Here's an easy to memorize framework to help you dodge common backtestings pitfalls:
The 4 F's of backtesting
katanaquant.com/blog/the-4-f...
Relying on inflated results leads to costly mistakes.
Here's an easy to memorize framework to help you dodge common backtestings pitfalls:
The 4 F's of backtesting
katanaquant.com/blog/the-4-f...
The 4 F's of Backtesting a Quant Trading Strategy | Blog | KatanaQuant.com
The 4 F's of backtesting outline a structured approach to backtesting trading strategies, emphasizing the importance of acquiring and validating quality historical data, forecasting performance metric...
katanaquant.com
November 19, 2024 at 11:41 AM
Backtesting is a crucial step in strategy development but can do a lot of harm when done wrong.
Relying on inflated results leads to costly mistakes.
Here's an easy to memorize framework to help you dodge common backtestings pitfalls:
The 4 F's of backtesting
katanaquant.com/blog/the-4-f...
Relying on inflated results leads to costly mistakes.
Here's an easy to memorize framework to help you dodge common backtestings pitfalls:
The 4 F's of backtesting
katanaquant.com/blog/the-4-f...
Hi, my name is Hōrōshi and I am the founder of Vagabond Research, an educational #trading firm committed to making #quantitative trading easy to learn for people all over the world.
If you want to learn more about my journey, you can read about it in this blogpost: katanaquant.com/blog/origins...
If you want to learn more about my journey, you can read about it in this blogpost: katanaquant.com/blog/origins...
Origins of a Quant Trader | Blog | KatanaQuant.com
Horoshi バガボンド shares his journey from being an avid strategy game player and self-taught developer to becoming the founder of Vagabond Research, an educational trading firm specializing in quantitativ...
katanaquant.com
November 15, 2024 at 2:22 PM
Hi, my name is Hōrōshi and I am the founder of Vagabond Research, an educational #trading firm committed to making #quantitative trading easy to learn for people all over the world.
If you want to learn more about my journey, you can read about it in this blogpost: katanaquant.com/blog/origins...
If you want to learn more about my journey, you can read about it in this blogpost: katanaquant.com/blog/origins...