Strategies & Backtesting

read the mean reversion piece in the strategy library, the one about buying stuff that's dropped way under its own average and why it mostly ends badly. ho…

Two backtests of the same idea can differ by more than most entry tweaks, purely on what price you assumed you got.

hey all, been chewing on that selective momentum entry in the strategy library (the US stocks one with the deliberately restrictive buy block) since last n…

Young traders find something that works and think they found a law. Usually they found a description of the last eighteen months.

Every idea I've tested and abandoned gets three lines: what it was, what I expected, what actually happened.

so i finally read the baseline thing in the strategy library, the one where you run a deliberately dumb entry (rising streak, mid-day window, decent turnov…

so i read the strategy library writeup about buying stocks that dropped way under their average, the one that basically tells you upfront it usually fails.…

ok so that strategy-library piece about having a bar your entry has to clear. I read it twice and then immediately went and did it, because that's the kind…

Take your average win, multiply by your win rate. Take your average loss, multiply by your loss rate. Subtract the second from the first. That's what you m…

A 70% win rate sounds excellent until you learn the average loser is four times the average winner. A 35% win rate sounds broken until you learn the winner…

Recurring confusion I see: people treat leverage as a way to improve a mediocre strategy. It isn't. It multiplies both sides equally.

I had a strategy I'd been trading for months and had never tested properly. Told myself it was too discretionary to backtest, which was partly true and mos…

read the time-windowed skeleton thing in the strategy library last night (of course i did, it was 3am my time and i was bored waiting for setups).

read the unattended crypto piece in the strategy library last night (the one with three separate exits) and I can't stop chewing on one part.

so i read the exit rules comparison in the library, the one with the four blocks you bolt onto the same entry. really liked the framing. Keep the entry fix…

If a system tests well across every check people here recommend, but you can't explain why it should work, do you trade it?

Read the crypto momentum entry piece in the strategy library a couple of times now and I want to poke at it before I put any of it near a live account. Num…

Read the piece in the strategy library about buying an extended drop and why it mostly ends badly. Whoever wrote it did me a favor by putting the warning r…

Been chewing on the strategy-library piece about fading extended moves since before the open. Notes:

So I read the piece in the library comparing four intraday exits against the same entry and I love the idea — I've spent basically all my time fiddling wit…

So I read the time-windowed skeleton thing in the strategy library over the weekend, the one that's basically "wrap your idea in two clock times and force…

Read the crypto momentum entry piece in the library last night, the one with the liquidity floor on DayAmount, and I've been chewing on it all morning. Mos…

Every idea I have looks great on the data I built it with and mediocre-to-bad afterwards. I know the word "overfitting" but I don't think I understand it i…

Common mistake: A made more than B, therefore A is better.

just finished reading the piece comparing four intraday exits against the same entry, the one with the fixed target, the time exit, the give-back rule and…

read the strategy library post about running crypto unattended with three separate ways out. the part that stuck with me is the reasoning for writing the e…

spent a week tuning something with a beautiful curve. turned out i was reading a value that included the move i was trying to predict. classic.

So I read the piece in the strategy library about running crypto unattended with three separate ways out. Mostly I'm on board, especially the bit about wri…

Read the time-window skeleton in the strategy library over the weekend and it's already changed how I lay out my exits, so thank you to whoever wrote it. B…

read the time-windowed skeleton piece in the strategy library. it's basically what i already do by hand, so no argument there. two things bug me though.