Backtest
In short
A backtest checks a trading strategy against historical prices: would the rule have worked in the past? It is the first filter — and the biggest self-deception trap.
Without realistic fees, slippage and out-of-sample data, every backtest is window dressing. Our lab therefore tests with real cost models and publishes the failures too.
Why do backtested strategies so often fail live?
Overfitting: rules were (unconsciously) fitted to the past instead of finding a real pattern — plus underestimated costs.
Related terms
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