Sentinel Research
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noise-harness / run-noise-harness (push) Failing after 1m54s
18 lines
940 B
TeX
18 lines
940 B
TeX
\section{Problem Formalization}
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\label{sec:formalization}
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% TODO content notes:
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% - Define the backtest setting formally: price series P_t, signal S_t,
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% position p_t, and the honesty constraint p_t = f(P_{<=t}, S_{<=t}) only
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% (no access to P_{>t}).
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% - Define lookahead bias precisely: any computation where p_t depends,
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% directly or via a vectorized operation (e.g. shift(-1), rolling window
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% misaligned by one bar, future-looking groupby), on P_{>t}.
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% - Show the general shape of the bug class in vectorized code: a single
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% missing .shift(1) or an inclusive/exclusive boundary error in a rolling
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% window. Use abstract pseudocode here; the concrete K12 diff goes in
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% Section 4.
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% - State the falsifiability criterion that motivates Section 5: if a
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% strategy is profitable on data with zero true signal (pure GBM noise),
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% the profit must be an artifact of the backtest mechanics, not of the
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% strategy logic.
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