Featured case study
OngoingPolyGo
Execution timing changed the distribution more than the headline PnL suggests.
Historical replay — not live returns.
Problem
Headline backtest net can hide how latency, fees, no-fills, and tail outcomes change the distribution underneath it.Approach
Compare the same paired historical cohort across explicit exit-latency scenarios, then inspect selected replays and unresolved execution states separately.Outcome
The evidence supported a clearer execution-risk model while remaining insufficient for production deployment.Execution timing study
Historical replay
Evidence & decision
What the evidence supports.
Research prototype—not a deployed income system.
- Median latency impact
- $0
- Fee drag at 1000 ms
- 51.6%
- Unresolved no-fill
- 1 / 775
Tail range −$39.38 to +$45.10
$9.16k gross · $4.73k fees
175 shares · $99.75 entry notional
Decision factors
- The dataset was repeatedly inspected; this is not an untouched holdout.
- Execution timing is non-monotonic: the median impact is $0 while tail outcomes move the aggregate.
- One no-fill remains unresolved, and fees consume roughly half of gross at 1000 ms.
Methodology details
- Fair paired closed cohort baseline
- $3,989.97109
- 500 ms closed-only net
- $3,939.91579
- 1000 ms closed-only net
- $4,429.33679
- 1000 ms execution
- 774 filled · 1 no-fill
- Median latency impact
- $0
- 1000 ms gross / fees
- $9,160.60480 / $4,731.26801
774 filled
51.03% win rate
Worst −$39.38459 · best +$45.09924
Fees consume approximately 51.6% of gross