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Time Series
Financial data is fundamentally temporal, and treating it otherwise leads to subtle, expensive mistakes. I write about time-series decomposition, stationarity testing, proper train/test splitting for temporal data, and the pitfalls of applying cross-sectional methods to sequential observations. These articles focus on the practical challenges of working with market data that has autocorrelation, regime changes, and non-stationarity baked in.
2026-05
Quant
Stationarity Testing for Strategy Signals: ADF, KPSS, and Why Your Backtest Depends on It
A strategy built on a non-stationary signal is a strategy built on sand. This article covers the statistical tests that detect non-stationarity (ADF, KPSS, Phillips-Perron, Zivot-Andrews), explains …