Quant | Harris Oldroyd

Quant

Research notes and experiments.

Methodology, testing, failures, iteration, and the practical realities of developing systematic strategies.

Jun 19, 2026 research 9 min read

The Consolidation Filter That Didn't Work

After the expansion-filter research, I tried to attack the drawdown problem more directly by detecting consolidation and filtering it out. The visual idea still makes sense, but the first binary versions were too thin to separate the bad loss clusters cleanly.

Jun 6, 2026 research 8 min read

From Trend Detection to Expansion Detection

A trend continuation strategy was performing well enough to justify further development, but repeated drawdowns during consolidation kept appearing. This research explores eighteen different filtering approaches and the unexpected pattern that emerged from the results.