#Backtesting
8 posts · All tags
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Can You Trust a Backtest? Five Pitfalls, From TradingView Understating Drawdown to Lookahead Bias
A pretty backtest doesn't prove a strategy works; these are the pitfalls I hit, from TradingView understating drawdown to missing random baselines, dirty data, short samples, and lookahead, and how I avoid each.
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Should You Change a Trading Strategy While Losing? Coding the Review Process, and 13 Variants That Failed
I wrote 'reassess if losses persist' as preset triggers and a fixed decision order; the first automatic trigger caught two bugs in the review code, and none of 13 risk-reduction variants passed the preset bar.
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A Crypto Trend Strategy Backtested at 240x Lost 10.7% in 2.5 Days of Paper Trading: Survivorship Bias in the Coin List
A trend strategy that backtested at 240x lost 10.7% in 2.5 days live; a hindsight-picked coin list had inflated it, and with point-in-time rankings, 10x in a year only happened from a bull-market start.
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Market Timing vs Buy and Hold: Backtests Across Taiwan and US Stocks, Futures, and Crypto, and None Beat Holding
I backtested timing and quant strategies across Taiwan stocks, US stocks, futures, and crypto, and after costs and daily-equity drawdowns none beat holding, while raising monthly contributions actually worked.
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Does Naked Candlestick Trading Work? Backtesting 1,026 Taiwan Stocks, It Lost to Random Entries Out of Sample
I turned a YouTuber's naked candlestick method into rules, backtested it on daily bars for over 1,000 Taiwan stocks against a random-timing control, and out of sample it lost by 2.62 standard deviations.
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Can Predicting Bitfinex Lending Rate Spikes Pay? Out of Sample It Kept About 10bp, So I Passed
Using perfect foresight as an upper-bound gate and then out-of-sample backtests, I tested holding capital for predicted lending-rate spikes: the ceiling was large, but a model using only current data kept about 10bp.
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How Long Should You Lend on Bitfinex? Backtesting 2-, 30-, and 120-Day Lending and the Lock-Up Risk
Long-tenor Bitfinex funding quotes far higher rates, but most 30-day loans repay within an hour. After fixing two inflating backtest bugs, only one 30-day lane survived, its gains are concentrated, and 120 days means lock-up risk.
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Bitfinex Lending's Hidden Clock: A Batch Auction Every 20 Minutes
Bitfinex 2-day funding is really a batch auction clearing every 20 minutes; here's how I found it in the data, where my new quoting strategy earns in backtests, and the pitfalls of a three-step rollout.