M2PI Case Studies Virtual Seminar: Kevin Malenfant

Every quantitative strategy has a lifecycle. It gets discovered, deployed, crowded, and eventually either dies or evolves. These phases are only obvious in hindsight. Living through them, you never know which one you're in.

This talk replays the lifecycle of a real commodity futures signal, restricting ourselves at each step to only what was knowable at the time. We build a backtest, make a go/no-go decision, enjoy years of strong performance, watch the edge erode, figure out why, and redesign the implementation. It's a condensed tour of the quantitative research process: years of monitoring, doubting, diagnosing, and adapting, compressed into half an hour.