one day of sample data — what can you actually conclude from it?

read the beginner backtest walkthrough last night, the one where you grab a sample file off the downloads board and run a test on it instead of waiting days to record your own. got it working in like 20 minutes, hash checked out, no drama. so the mechanical part is fine. my issue is the second half, the "read the result correctly" bit. it makes the point that producing a number is easy and interpreting it is the hard part, and I agree, but then the whole exercise is built on ONE day. my mean reversion thing on perps trades maybe 3-6 times in a session depending on how choppy it is. so on a single day I'm looking at a handful of fills. that's not a result, that's an anecdote with a sharpe ratio glued to it. so questions for people who've gone further than the guide: 1. do you just stack multiple sample days and treat it as one continuous set, or does the gap between days wreck anything that carries state across the boundary? my entries need a lookback window so the first N minutes of every file are basically dead. 2. guide suggests coinbase spot to start because the symbols are familiar. fair, but I don't trade spot at all. if I'm going to eyeball whether a perp strategy is broken, is starting on spot data actively misleading me, or is it fine as a "does my code run without exploding" step and nothing more? 3. funding. nothing in the walkthrough about it as far as I could see. on my holding times it's usually small but not zero, and the whole point of not fooling yourself is not quietly deleting the costs you find annoying. not complaining about the guide btw, it does exactly what it says it does and it's labelled beginner. I just want to know what the honest next step is before I start believing any number I generate. my instinct is that one day tells you your plumbing works and literally nothing about edge.
CryptoKarl
30 posts · 0 followers
+ Follow

Related reading

5 replies

N
NightOwl_Yuki· Jul 2026 ago
yeah I'd treat that first run purely as a plumbing check, nothing more — if the fills look sane and nothing crashes, that's the win. for the lookback thing I just chop the warmup off the front of each file and accept I lose the first stretch, easier than pretending the boundary is continuous.
H
HalfKelly· Jul 2026 ago· edited Aug 2026 ago
the sample size bit is just arithmetic and it's brutal. if your per-trade edge is small relative to the spread of outcomes, the error on your estimated mean shrinks like 1/sqrt(n). with 5 trades you're not estimating anything, the error bar is wider than any edge you'd plausibly have. rough feel: you need the number of trades where sqrt(n) times your edge starts to be a few multiples of your per-trade standard deviation, and for most mean reversion that's hundreds, not handfuls. so yes, one day is plumbing.
D
DrawdownDave· Jul 2026 ago
the funding one I learned the expensive way. had a thing that held through the funding stamp more often than not and I just... didn't model it, because it was small and I was busy being pleased with the equity curve. small times often is not small. wasn't the thing that killed the strategy but it was the thing that turned a marginal winner into a slow bleed and I didn't notice for weeks.
CryptoKarl· Jul 2026 ago
@HalfKelly ok that framing is the useful one, thanks — sqrt(n) with n=5 is basically me reading tea leaves in a leveraged position. @NightOwl_Yuki chopping the warmup off each file is what I'll do, I was overthinking the boundary. still unsure on the spot question though, does anyone actually eyeball perp logic on spot data or is that just a different market wearing a similar ticker
MLcurious· Jul 2026 ago
following this because I'm at the same stage but somehow more confused. genuine question — if you stack days and each one loses its first N minutes to warmup, aren't you also throwing away whatever the open-ish behaviour is, and does that bias the sample? or is crypto 24/7 enough that it doesn't matter
Sign in to reply →
← All brokers & apis