Su Wei double-clicked to open the massive spreadsheet.
The sheer volume of data caused the computer to lag for two seconds before countless numbers spread out across the screen.
Su Wei didn’t write any filter formulas, nor did she use a pivot table.
She simply placed her right index finger on the mouse’s scroll wheel.
She scrolled down.
The numbers on the screen began to fly upward. Slowly at first, but soon, Su Wei was scrolling the wheel faster and faster.
The rows and columns on the screen dissolved into a complete blur.
Xu Qian stood to the side, her brow furrowing tightly as she watched this method of data review.
’This wasn’t a search for the problem at all.’
No one could possibly make out the digits of the opening prices and trade volumes at that speed. It was like trying to spot a single misspelled word in a dictionary as someone riffled through its pages.
A minute passed.
Two minutes passed.
Su Wei’s eyes were locked on the center of the screen, her pupils trembling minutely in time with the flickering data.
Her breathing grew slow and even. She was like a CPU at full throttle, screening out all external distractions.
Shen Lan sat behind her spacious desk, picking up her glass of water without a word of prompting.
The only sound in the office was the continuous whirring of the mouse wheel.
As the seventh minute arrived.
Su Wei’s scrolling index finger suddenly froze.
The rapidly scrolling screen jerked to a halt. The spreadsheet bounced once from the inertia before settling on a single row.
Su Wei released the mouse.
She leaned back in her chair and raised a hand to rub the bridge of her nose. The high-intensity visual processing had clearly left her feeling a little fatigued.
"Found it."
Su Wei’s voice wasn’t loud, but it was crystal clear in the silent office.
Xu Qian rushed closer to the screen.
The screen showed a segment of market data from around 10:15 AM, October 12th.
Opening price: 2850. Closing price: 2848. Trade volume: 500 lots.
Xu Qian studied it for a long while, her face a mask of utter confusion.
"What... what’s wrong with this data? The prices are sequential, there’s no gap, and the trade volume is normal. Where’s the problem?"
Su Wei didn’t answer Xu Qian. She swiveled her chair to face Shen Lan.
"Professor Shen, does your strategy model have extremely strict controls on leverage? Such that if the daily margin usage exceeds eighty percent of the total account capital, it triggers a forced liquidation?"
Shen Lan nodded.
"That’s our risk management baseline. Is there a problem with it?"
"There’s nothing wrong with the data, and there’s nothing wrong with the model."
Su Wei pointed at October 12th on the screen.
"The problem is with the market rules."
Su Wei looked at Shen Lan and calmly stated a fact that an ordinary person would never have noticed.
"On October 12th, the commodities exchange issued an extremely brief temporary notice. Due to increased market volatility after the National Day holiday, the exchange temporarily raised the trading margin requirement for this main soybean contract from five percent to eight percent. At the same time, the contract’s multiplier was also tweaked."
Xu Qian stood there, dumbfounded.
Su Wei looked at Xu Qian and explained.
"Your base data sheet only recorded price changes. For all prices after October twelfth, when you imported them into the model, the system still defaulted to calculating capital usage based on the low, five-percent margin."
"In a real-world trading environment, after the twelfth, buying the same number of contracts required almost twice the capital as before."
Su Wei tapped a finger lightly on the desk.
"Your backtest account was already fully invested in mid-October. The leverage was amplified without you realizing it. The moment it encountered a slight pullback of one or two percent, the system determined your funds could no longer cover the true eight-percent margin requirement."
"So, the equity curve plummeted. It wasn’t the market that blew up the account. It was your backtesting system, running dynamic historical data against static, outdated parameters, that determined it had been wiped out."
The office fell into silence.
Xu Qian stared blankly at Su Wei, then turned to look at the date on the screen.
’How could she possibly know something like that?’
’Those temporary exchange announcements are usually just a few lines of inconspicuous text, buried on a second- or even third-level page of the official website. A lot of the time, even professional researchers at futures firms don’t pay attention to such details.’
’And yet this sophomore girl, whose daily job was just to organize old financial reports, had somehow clearly committed to memory a minor rule change from a specific trading day several months ago?’
’And she could pinpoint that exact moment from within over a hundred thousand lines of tedious data?’
’It was a testament to a voracious appetite for financial market information, coupled with a nearly freakish memory and recall.’
’She was a natural for this kind of work.’
Shen Lan put down her glass of water.
She looked at Su Wei, the last hint of scrutiny in her eyes gone completely. In its place was the acknowledgment one gives a peer.
"Xu Qian."
Shen Lan spoke.
"Apply a weighting parameter to the historical capital usage rate after the twelfth and run it again."
Xu Qian snapped back to reality.
She hurried over to a spare keyboard beside Su Wei and pulled up the model’s parameter settings page. With slightly trembling fingers, she changed the margin ratio parameter for the period after October twelfth to eight percent.
She hit Enter.
The backtest began again.

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