All courses🛡️ Risk · Level 6.1
⬢ The Professional Layer
Broker execution as a measurable cost, the real confidence interval around your edge, when to kill a strategy, running several systems, and a twelve-week project to build your own.
5 lessons ~25 min read
0102030405
Your broker is a counterparty
Explain the difference between A-book and B-book routing and what each implies Measure your own slippage and spread rather than suspecting them Convert execution cost into R and add it to your expectancy Compare brokers on total round-turn cost and measured execution, not advertised spread
The statistics of your own edge
Calculate the confidence interval around your measured expectancy Run a Monte Carlo shuffle and size for the 95th-percentile drawdown Explain why risk of ruin is dominated by size rather than edge Prepare for sequence risk by starting new systems at half size
Killing a strategy — the decision nobody teaches
Test variance, then adherence, then regime — in that order Require a measurable change before accepting a regime explanation Write a decommission rule before it is needed Distinguish suspending a system from retiring it
Portfolio construction — running several systems
Explain why diversification requires genuine independence between systems Measure correlation between systems at trade level before allocating Weight by expectancy divided by deviation, well below full Kelly Add a portfolio-level drawdown limit for the case where everything correlates
The capstone — build your own edge in twelve weeks
Specify a complete system precisely enough for someone else to execute Backtest, stress-test and forward-test it before risking full size Diagnose a failed review by its specific cause rather than changing strategy Generate your own data instead of relying on anyone else’s claims
Final challenge
Answer all 12 questions. You need 10 of 12 correct to unlock the certificate — 2 can be wrong. Retakes are unlimited, so take your time.