The Algo Catalog methodology

How we build and ship strategies.

Every strategy in our storefront flows through the same pipeline. No selective backtests, no cherry-picked snapshots. This page documents the stages, gates, and evidence behind each product page.

The pipeline

Concepts move through four process stages, then route to one of four terminal stages. Folders physically move between stages as a concept progresses or is killed. The state of the pipeline at any point is auditable on disk.

Strategy pipeline flowchartConcepts flow through four process stages: Ideas, Backtested, Candidates, and Evaluation. Each gate stage auto-culls underperformers to Graveyard. Surviving concepts route from Evaluation to Hall of Fame, For sale, or Free.PROCESSIdeasconcept folder createdBacktestedparse + run + metricscull if Sharpe<1 or MAR<0.75Candidatesrobustness checkscull if Sharpe<1 or MAR<0.75EvaluationStep C + OOS + Monte Carlocull if Sharpe<1 or MAR<0.80TERMINALHall of Famein-house(not for sale)For saleROR 10–25%paid catalogFreeROR < 10%free catalogGraveyardauto-cullsfrom anygate stage(dead ideaspreserved asan index)
Every for-sale strategy passes through this pipeline. Culled concepts are preserved in the Graveyard index so dead ideas don't get re-proposed.

Gates and floors

Three threshold checks decide where each concept ends up: an auto-cull against minimum Sharpe and MAR, a Hall-of-Fame eligibility gate, and a lifetime-ROR routing rule.

Routing decision treeDecision tree showing how Sharpe, MAR, and lifetime ROR thresholds route a concept to Graveyard, Hall of Fame, For sale, Free, or stays in pipeline.BACKTEST RESULTSharpe ≥ 1 AND MAR ≥ floor?floor: 0.75 early stages, 0.80 evaluationnoGraveyardauto-cullyesSharpe > 1 AND MAR ≥ 0.80?Hall-of-Fame eligibilityyesHall ofFamenoLifetime ROR?storefront routing< 10%10–25%> 25%Freefree catalog(low return)For salepaid catalog(mid return)Stays in-housetop-tier returnheld backFor sale (carve-out)if Step-C blocked(2008 risk concentration)
The HoF-eligibility pre-check runs before ROR routing: any concept clearing the Sharpe and MAR floors goes to evaluation for HoF consideration, never to the storefront.

Data and modeling resolution

All backtests use daily-resolution OHLC data from Norgate Premium (point-in-time index membership, survivorship-bias-free, dividend-adjusted). Norgate does not provide intraday (minute or tick) history, and we do not model intraday price paths. What this means in practice:

  • Stops and limits are checked against the day's High and Low. If the range touches the price, the backtest assumes a fill at that price. Live fills may differ depending on intraday liquidity.
  • Same-day stop-and-target collisions are resolved with pessimistic assumptions because daily data cannot reveal the intraday sequence.
  • Open and close exits are modeled at the session's open or close print. Live MOO/MOC fills are typically close but not guaranteed identical.
  • Gaps through stops fill at the open, not at the stop level. Stop-based risk control is approximate, not absolute.

Daily-resolution modeling is appropriate for the holding periods we sell (one day to roughly two weeks). The full disclosure lives in the Risk Disclosure document, § 11.

Robustness artifacts

  • Parameter disclosure - total vs optimized parameter count, trades per parameter, statistical adequacy.
  • In-sample / Out-of-sample overlay - cutoff date plus Sharpe retention across the boundary.
  • 2-D parameter heatmap - production cell highlighted against a sensitivity grid.
  • Monte Carlo path band - 1000+ trade-sequence simulations vs percentile bands.
  • Trade truncation - how much P&L survives clipping the top 1% and 5% of trades.

The public/private boundary

Public: equity curve, monthly returns, comparative stats, robustness artifacts, cost of ownership, setup honesty, FAQ. Private (post-purchase only): entry conditions, indicator stacks, parameter values, exit rules, position-sizing math. Those live in the .rts file the buyer downloads.

House rule: we never sell a strategy we personally trade live. Premier production stays in-house; the storefront is the validated second-tier work judged honest enough to ship without information-leakage risk.