Transaction Costs: The Silent Killer of High-Frequency Backtests
A strategy turning over 5× per month needs to clear a much higher gross return bar than one turning over 2× per year. Most backtesting tools underestimate this dramatically.
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Deep dives into backtesting methodology, statistical pitfalls, and the quantitative research that underpins serious strategy development.
Walk-Forward Optimisation: The Only Way to Know If Your Edge Is Real
In-sample optimisation without out-of-sample validation is just curve fitting with extra steps. Walk-forward testing is what separates research from wishful thinking.
The Sharpe Ratio Is Necessary. It Is Not Sufficient.
A Sharpe of 1.8 looks great on paper. But if your strategy draws down 40% in a single quarter, your LPs will not care about the annual number.
Why Survivorship Bias Silently Destroys Your Backtest
Most retail traders run backtests on today's S&P 500 constituents — but that universe didn't exist ten years ago. Here's what that means for your returns.