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Systématique, approfondi, actionnable. Sélectionné pour les débutants.

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Affichage de 20 articles dans #backtesting

#backtesting

Trading System Development Lifecycle: Hypothesis to Deployment

A complete development lifecycle from hypothesis through testing, optimization, and live deployment with concrete gates and kill criteria at each stage.

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Trading System Decay Detection and Iteration

Detect trading system edge decay early with rolling Sharpe and drawdown triggers, then iterate on the system using a disciplined update process.

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System Robustness Testing with Monte Carlo

Apply Monte Carlo methods to test trading system robustness through trade-order shuffling, return resampling, and parameter perturbation with concrete thresholds.

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Parameter Optimization and Walk-Forward as One Process

Treat parameter optimization and walk-forward analysis as a single integrated process with concrete window sizes, efficiency ratios, and failure rules.

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Multi-System Correlation Risk and Decorrelation

Measure and reduce correlation risk across a portfolio of trading systems with correlation matrices, decorrelation techniques, and target allocation rules.

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Live vs Backtest: Slippage, Latency, and Psychology Gaps

Quantify and close the gap between backtest and live results by modeling slippage, latency, and the psychological execution errors that destroy paper edges.

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Backtesting Traps: Overfitting, Survivorship, and Look-Ahead Bias

Identify and fix the three backtesting traps, overfitting, survivorship bias, and look-ahead bias, with concrete detection tests and prevention rules.

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Walk-Forward Analysis Explained

Walk-forward analysis tests whether a trading system stays profitable as parameters are re-optimized over rolling windows, and this guide explains the process and interpretation for beginners.

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Trading System Design: From Idea to Rules

A trading system is a set of explicit rules that turn a market hypothesis into repeatable decisions, and this guide walks beginners from raw idea to fully specified rule set.

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Signs Your Trading System Is Failing

Trading systems decay as markets evolve, and this guide teaches beginners to recognize the early warning signs of system failure before they translate into deep drawdowns.

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Positive Expectancy: The Math of Profitable Systems

Positive expectancy is the single number that decides whether a trading system makes money over time, and this guide explains the formula with concrete examples for beginners.

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System Performance: Sharpe, Sortino, Calmar, Profit Factor

Performance metrics like Sharpe, Sortino, Calmar, and profit factor summarize a trading system's risk-adjusted returns, and this guide explains each metric with formulas and interpretation for beginners.

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