Problem
MDB detects conviction/activism signals but does not validate them historically, so they are assertions, not evidence. WhaleWisdom/Novus ship backtests + skill scores; the literature quantifies 13F "alpha cloning" (~1.6–2.1%/qtr; treat higher claims as marketing). A backtest harness lets MDB prove its signals.
Proposed approach (for discussion)
- Replay a strategy (e.g. "follow high-conviction new buys") over historical point-in-time holdings, entering at disclosure lag, and report return / Sharpe / hit-rate vs a benchmark.
- Requires as-of holdings + a price source (new dependency — see open decisions).
Open decisions (owner)
- Blocked by bitemporal holdings (T1) — cannot backtest without point-in-time data. Confirm sequencing.
- Price/returns data source (cost + licensing): which provider, and is redistribution of results acceptable?
- Scope: internal signal-validation harness only, or an operator-facing backtester UI (much larger)?
Definition of done (for this DESIGN issue)
Design doc: strategy spec, price-source decision, metrics, and the as-of data contract with T1. No code until T1 lands.
Notes
Part of epic #1320 (Tier-2). Blocked by the bitemporal-holdings design/impl.
Part of epic #1320 (Tier-2). Blocked by #1400 (bitemporal holdings).
Problem
MDB detects conviction/activism signals but does not validate them historically, so they are assertions, not evidence. WhaleWisdom/Novus ship backtests + skill scores; the literature quantifies 13F "alpha cloning" (~1.6–2.1%/qtr; treat higher claims as marketing). A backtest harness lets MDB prove its signals.
Proposed approach (for discussion)
Open decisions (owner)
Definition of done (for this DESIGN issue)
Design doc: strategy spec, price-source decision, metrics, and the as-of data contract with T1. No code until T1 lands.
Notes
Part of epic #1320 (Tier-2). Blocked by the bitemporal-holdings design/impl.
Part of epic #1320 (Tier-2). Blocked by #1400 (bitemporal holdings).