Market-Structure

A backtest that runs back to 1926 only helps if what it measures existed for the whole period. We tested which edges lasted through changes in the market and which didn't, using a century of daily US returns, 16 years of ES intraday data, the closing-auction seconds that moved in 2018 and 2019, and the fee that widened ETF spreads in April 2026.

Equity data is reported, under rules written in 1975 and rewritten in 2005, and is changing again on 6 December 2026.