1. Signal Decomposition Canvas (Raw Price Noise vs Residual Micro-Alpha)
FREQUENCY: 100 Hz
2. Compounded Equity Trajectories & Drawdown Risk Heatmap
SIMULATING 100 PATHS IN REALTIME
Sharpe Ratio (Annualized)
1.85
High edge compounding
Compounded Return Multiplier
3.42x
Mean path growth factor
Max Drawdown (95th Pct)
14.2%
Worst peak-to-trough decline
Ruin Probability (<20% Equity)
0.01%
Risk of total depletion
Signal Decomposition Thesis
Quantitative trading is not predicting market direction—it is stripping away noise to isolate minute inefficiencies (e.g. 51% win rate). Repeating tiny non-random edges over thousands of high-frequency trades breaks market randomness.
Alpha Residual = Raw Price - Trend - Liquidity Noise
Fractional Kelly & Overleveraging
Full Kelly sizing maximizes exponential wealth growth but suffers horrific drawdowns (~50%). Fractional Kelly (0.25x) captures 75%+ of compounding gains while reducing variance by 16x, virtually eliminating ruin.
Optimal Bet Fraction: f* = (bp - q) / b = 2p - 1