PUBLICATIONS · 29 ARTIFACTSDATED · LINKABLE · PROOF-IN-ROW

Things I have written, built, and said in public.

Dated. Linkable. If a row says I did something, the proof is in the same row.

Every artifact below is either an OSS repo, a memo, a workbook, or a public talk.

CHRISTIAN.T.MACIONUTC+829 ARTIFACTSNDA-SAFEOWNER-VERIFIED

7 min readlast updatedhow verified ↗

Research papers · 9 quant projects

Public-data systematic research.

2026

The Variance Risk Premium (VIX vs Realized)

Implied > realized 85% of 36 yrs; predicts returns, Newey-West t = +6.5.

  • Years VRP > 085%
  • Newey-West t-stat+6.5
  • Sample window1990 - 2025
Python (numpy / pandas / matplotlib)VIX (CBOE) historicalRealized-vol estimatorNewey-West HAC inference
Jan 2026
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Pairs Trading via Cointegration (BTC / ETH)

ADF −2.11 (not cointegrated), half-life 208 d : the fade loses, as the test predicts.

  • ADF test statistic−2.11
  • Half-life (estimated)208 days
  • OOS Sharpe (fade)≈ 0
Python (numpy / pandas / matplotlib)Augmented Dickey-Fuller (from-scratch)Half-life estimator5 bps / side cost model
Feb 2026
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Crypto Funding-Carry

Funding +11.9% annualized premium; fade IS 1.11 → OOS −0.05 (decayed post-2023).

  • Annualized funding+11.9%
  • Fade IS Sharpe1.11
  • Fade OOS Sharpe−0.05
Python (numpy / pandas / matplotlib)Perpetual funding rates (Binance)Bootstrap CIPre-registered lock window
Apr 2026
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Macro / Volatility-Regime Overlay

Vol-managed exposure: Sharpe 0.64 → 0.67, max DD −58% → −42%.

  • Sharpe (base)0.64
  • Sharpe (regime overlay)0.67
  • Max DD (base → overlay)−58% → −42%
Python (numpy / pandas / matplotlib)VIX regime classifierExposure scaler (smoothed)5 bps / side cost
May 2026
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Backtest Engine + Cost Model

High-turnover signal wins gross (0.20 > 0.13) but loses net of cost : break-even 20 bps.

  • Sharpe (gross)0.20
  • Sharpe (net, realistic)< 0
  • Break-even cost~20 bps / RT
Python (numpy / pandas / matplotlib)Event-driven backtest loopLinear-impact cost modelBreak-even turnaround scan
May 2026
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Look-Ahead Bias Audit (the shift test)

A leak inflates Sharpe 0.59 → 5.07; the shift test exposes it as 88% phantom.

  • Clean Sharpe0.59
  • Leaked Sharpe5.07
  • Phantom % detected88%
Python (numpy / pandas / matplotlib)One-bar shift testLeak-magnitude quantification
Jun 2026
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2025

Multiple Testing & the Deflated Sharpe Ratio

Best-of-160 BTC rule: IS Sharpe 1.14 is only 1.24× the pure-noise expectation : DSR = 0.70 (fail).

  • Best-of-160 in-sample Sharpe1.14
  • Pure-noise expectation0.92
  • Deflated Sharpe Ratio0.70
Python (numpy / pandas / matplotlib)Block-bootstrap nullDeflated Sharpe Ratio160-rule BTC sweep
Sep 2025
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Cross-Sectional Momentum (18 coins)

IS Sharpe 0.91 → OOS −0.03 : an honest decay; bootstrap CI straddles zero.

  • In-sample Sharpe0.91
  • Out-of-sample Sharpe−0.03
  • OOS 95% CIstraddles 0
Python (numpy / pandas / matplotlib)Cross-sectional rankingBootstrap confidence intervalLocked out-of-sample window
Oct 2025
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Time-Series Momentum + Vol Targeting

Vol-targeting lifts Sharpe 0.27 → 0.39 and halves max DD (−62% → −30%).

  • Sharpe (raw)0.27
  • Sharpe (vol-targeted)0.39
  • Max DD (raw → targeted)−62% → −30%
Python (numpy / pandas / matplotlib)Time-series momentum signal20-day realized-vol targeting5 bps / side cost model
Dec 2025
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OSS projects · 6 AI builds

Multi-agent LLM systems with eval-first discipline.

2026

LLM-as-Judge Harness

LLM-as-judge pipeline validated against human raters : Cohen's κ = 0.58 with bootstrap CI and position-bias measured.

  • Cohen's κ (vs human)0.58
  • Pass rate0.60 ± 0.02
  • Position bias17%
PythonLLM-as-judge prompt patternCohen's κ + bootstrap CIPosition-bias flip test
Jan 2026
Read →Repo ↗

Eval MCP Server

MCP server exposing the slop-evaluation gate over Tools, Resources, and Prompts : 20/20 conformance, 100% round-trip parity.

  • MCP conformance20 / 20
  • Round-trip parity100%
  • Primitives exposed3 / 3
PythonModel Context Protocol (MCP)Tools / Resources / Prompts primitives13-metric slop gate
Feb 2026
Read →Repo ↗

Reflect-Revise Loop

Reflection-loop agent : mean SLOP 127.5 → 14.0 across drafts, 3/4 improved, 1/4 honest no-progress halt.

  • Mean SLOP score127.5 → 14.0
  • Drafts improved3 / 4
  • Honest no-progress halts1 / 4
PythonReflect / revise loopHonest no-progress haltPer-iteration score-delta logging
Mar 2026
Read →Repo ↗

Slop Scanner

13-metric literature-grounded AI-output quality gate : drove a real draft from HEAVY (81) to CLEAN (3).

  • Real-draft improvement81 → 3
  • Metrics13
  • External dependencies0
Python (stdlib)Streamlit13 literature-grounded metrics
Mar 2026
Read →Repo ↗

2025

RAG Recall Eval

RAG service that proves its own retrieval : recall@3 = 0.886, MRR@3 = 0.805 with offline stdlib TF-IDF retriever.

  • recall@30.886
  • MRR@30.805
  • Mean faithfulness1.00
  • Hallucination flags0 / 35
Python (stdlib only : no LLM API, no pip install)TF-IDF retriever17-doc / 34-chunk corpusStreamlit app
Nov 2025
Read →Repo ↗

Tool-Call Agent

ReAct-style tool-calling agent with OTel traces, fault injection, and 100% tool/arg correctness.

  • Tool / arg correctness100%
  • Injected faults recovered6 / 6
  • Loops without bound0
PythonReAct loopOpenTelemetry (gen_ai.* attrs)Fault-injection harness
Dec 2025
Read →Repo ↗

Workbooks · long-form

1 published · 3 in progress.

Long-form workbooks that consolidate method, code, and exercises. Published entries ship as public PDFs; in-progress drafts are available on request.

AI Architecture & Multi-Agent Systems Workbook

11-agent orchestrator, eval harness, MCP server, model routing
~80 ppAI engineers, agent architects, eval harness designers
In progress to early-reader draft; full PDF available on request (non-public, gated by topic)

Statistical Modeling for Systematic Trading Workbook

multiple testing, walk-forward, block-bootstrap, deflated Sharpe, cost realism
~110 ppquant researchers, strategy developers, backtest engineers
In progress to early-reader draft; full PDF available on request (non-public, gated by topic)

STA Tier-1 CTA Curriculum Workbook

technical analysis fundamentals through advanced pattern recognition
~150 pptechnical analysts, finance students, CFA/CMT candidates
In progress to early-reader draft; full PDF available on request (non-public, gated by topic)

Press & recognition

Public talks, lectures, and recognitions.

  1. 2026

    Frontier Models for Quant Research & AI Engineering. r3 consulting brief released (18 pp, citable)

    Venue: portfolio.os · /research/frontier-models

    Public-shareable brief comparing M3, Kimi K3, and Claude Opus 4.8 (with Fable 5, GPT-5.6 Sol, Gemini 3 Pro as reference points) for quant research + AI engineering. 18-page letter PDF, footnoted sources, two verification gates, declared gaps.

  2. 2026

    v6.0.5 site patch. three real bugs shipped (Atom feed base path, AI H1 slugs, methodology cross-linking)

    Venue: portfolio.os · commit history

    Three post-deploy audit fixes shipped: (1) feed.xml/feed-projects.xml/feed-solutions.xml entry URLs now include the /portfolio base path; (2) AI research page H1s now show human titles (RAG Recall Eval, Tool-Call Agent, LLM-as-Judge Harness, Eval MCP Server, Reflect-Revise Loop, Slop Scanner) instead of filename slugs; (3) /methodology now cross-links 12 unique glossary terms (DSR, PBO, walk-forward, block-bootstrap, embargo, OOS, slippage, Sharpe, regime, Bonferroni-Holm, MinBTL, survivorship) into the /glossary/{id} deep pages, up from zero.

  3. 2026

    v6.0.4 spine shipped. 25 glossary deep pages + 15 research citation pages

    Venue: portfolio.os · release notes

    Two new content surfaces: /glossary/{slug} (25 deep pages, one per glossary term, with extended prose + 3-6 related-term cross-links each) and /research/{lane}/{0N-slug} (15 academic citation pages, one per quant + AI project, where the numeric prefix comes from MDX filename order; URLs rendered as /research/quant/01-deflated-sharpe-ratio etc., with auto-generated BibTeX entries + copy-to-clipboard button + canonical-link row to /projects). Total 80 pages indexed. FlagshipCard self-link bug fixed (3 certs now point to issuer URLs). All build-time dates switched to UTC+8.

  4. 2026

    Vol-target time-series momentum paper-trade. live publication on /positions

    Venue: portfolio.os · /positions

    Live paper-trade started on project 03 (BTC/USDT, 30% annualized vol target). Public-data reproducible end-to-end. Currently in regime 2 (50+ trading days), tracking slippage against the 5 bps linear-impact model. 4.2 bps realized.

  5. 2026

    Slop-scanner app released. 13-metric literature-grounded AI-output quality gate

    Venue: github.com/christianmacion26/slop-scanner

    Streamlit app that scores a draft on 13 literature-grounded quality metrics (vocabulary entropy, hedge-word density, generic-template phrases, repetition n-grams) and outputs a single SLOP index from HEAVY to CLEAN. Stdlib scoring core needs no LLM and no API key. Drove a real draft from HEAVY (81) to CLEAN (3).

  6. 2026

    CTA program graduate. Society of Technical Analysts of the Philippines

    Venue: STA Philippines

    Cert #260197 issued Jan 19 2026 (program completed Dec 2025; cert-grant ceremony Jan 19 2026). Photographic proof on the record. same image used in the hero signature strip.

  7. 2025

    STA Tier-1 CTA Program completion. Society of Technical Analysts of the Philippines

    Venue: STA Philippines

    Tier-1 Certified Technical Analyst program, completed Dec 2025. Final capstone: regime-classification case study on ASEAN equities.

  8. 2025

    BIDA × Meta AIccelerate 2025. 5-day hybrid training, awarded Dec 17 2025

    Venue: BIDA × Bayan Academy × Meta

    Selected for the BIDA × Bayan Academy × Meta AIccelerate 2025 Batch 3 (Nov 12 to 21 2025). Five-day hybrid training on applied AI for MSMEs; co-signed certificate from BIDA, Bayan Academy, and Meta Philippines.

  9. 2025

    University guest lecturer. University of Southeastern Philippines (USeP)

    Venue: USeP College of Engineering

    Guest lecture on systematic trading research and AI for engineering students. Course: CpE / EE 5th-year elective.

  10. 2024

    PSHS-SMC alumni speaker. Philippine Science High School Southern Mindanao

    Venue: PSHS-SMC Alumni Talk Series

    Talk on AI engineering and the educational path from PSHS to AI/quant careers. ~80 attendees (alumni + current students).

Want a specific paper or talk?

Email me the topic and I'll point you to the artifact (PDF, video, repo) within 24 hours.

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