David Maguire

Quantitative researcher working on systematic strategies, risk, and market microstructure. This site is my open lab notebook — the ideas, equations, and experiments I’m working through on the way to a PhD. I care most about work that is reproducible, honestly reported, and grounded in the literature.

Research Reading notes About & interests

Featured research

How Backtest Selection Inflates the Sharpe Ratio

backtesting

statistics

overfitting

Test enough strategies and one will look great even with zero true edge. A Monte-Carlo demonstration, the √(2 ln N) scaling of the best spurious Sharpe, and how to correct for the number of trials.

Jun 20, 2026

5 min

Latest reading notes

Date	Paper
Jun 28, 2026	Ang, Hodrick, Xing & Zhang (2006) — The Cross-Section of Volatility and Expected Returns

What you’ll find here

Longer research write-ups pair the maths with runnable code and honest limitations — including negative results, which I think are the most useful things to publish. Shorter notes are structured annotations of papers I’m reading. Everything that involves data ships with the code to reproduce it.