AnalysisResearchBacktesting
Alert Calibration: Choosing Thresholds That Don’t Overfit (A Backtesting Playbook)
If your whale alerts feel noisy, the fix isn’t another heuristic—it’s calibration. This playbook shows how to choose alert thresholds using precision/recall, stratified backtests (by liquidity, market category, and regime), and out-of-sample validation so you don’t tune to yesterday’s tape.
·5 min