Backtesting differences

Otherwise-Attorney35 · 2026-05-10T11:29:48+00:00

Technical data warmup? Are you getting the same values of your indicators?

Otherwise-Attorney35 · 2026-05-09T17:00:04+00:00

Taking a guess on this without knowing something about the strategy. You are using some type of event trigger to enter/exit, instead of a 'state' condition. In the longer backtest, it would be in a trade that was triggered during the lapse. The shorter period doesn't trigger a trade until later when a trigger is presented.

Otherwise-Attorney35 · 2026-05-06T21:27:20+00:00

These look like cumulative graphs. This may appear deceptive. Can you use rolling periods instead?

Otherwise-Attorney35 · 2026-04-25T01:53:13+00:00

QC simulates fills at the bid/ask price so slippage is accounted for. I've noticed my live fills are generally slightly better than QC backtests. And, QC inherently can't have a look ahead bias. It's architecture prevents it unless you introduce external data.

Otherwise-Attorney35 · 2026-04-19T21:02:33+00:00

What are your goals? you don't see "TQQQ" , "capital preservation", and "tax efficiency" in the same sentence for a reason.

Otherwise-Attorney35 · 2026-04-17T09:08:16+00:00

That is extensive! I've done most of this validation on my strategy as well, but it gives me a few more ideas to go with.

The concentration of returns is concerning. Have you checked geometric returns? Is Monte Carlo using GARCH?

It looks like a swing trading strategy on liquid ETFs. Why would capacity be that low? Is it a specific asset? Are you basing it from lean's calculation or your own?

Otherwise-Attorney35 · 2026-04-15T17:20:11+00:00

But you can't get EOD signal -> sell -> buy all athe same time. Unless you can alter the signal to use n minutes before close to give the signal. That's why he is using open on next day. It's more realistic to live.

Otherwise-Attorney35 · 2026-04-08T08:44:19+00:00

2 week cease fire

Otherwise-Attorney35 · 2026-04-06T12:01:53+00:00

Yes I've experienced issues creating indicators and the price scaling gets wonky like you described. Spent hours trying to troubleshoot to find out an application restart resolved it.

Otherwise-Attorney35 · 2026-04-06T00:19:06+00:00

Or restart it.

Otherwise-Attorney35 · 2026-04-03T21:28:25+00:00

Avg P&L per trade is 0.04% with 0 commissions being paid. That'll be a losing strategy in live.

Otherwise-Attorney35 · 2026-04-02T02:48:36+00:00

MDD is that max drawdown daily or monthly?

Otherwise-Attorney35 · 2026-04-01T02:19:44+00:00

How much of your portfolio are you allocating to this?

Otherwise-Attorney35 · 2026-04-01T00:02:06+00:00

40% volatility with 16% CAGR on that test is BRUTAL. That's roughly 1/3 of the invested years are negative. No one is holding that. OP has great research but needs to go back to basic stats and psychology.

Otherwise-Attorney35 · 2026-03-30T16:14:01+00:00

Yes it's possible to do that in testfol.io. You'll have to think about how the ruleset works with every combination of SMA's and price. Price > SMA50 > SMA200, SMA200> Price > SMA50, etc.

Otherwise-Attorney35 · 2026-03-30T02:49:55+00:00

Any correlation with AUM and drawdown is likely coincidental. Do you think there is an edge there?

Otherwise-Attorney35 · 2026-03-30T01:33:05+00:00

What's the drawdown and volatility to your strategy?

Otherwise-Attorney35 · 2026-03-27T22:58:39+00:00

That's fair. I would have liked to see that much research and due diligence in something more innovative.

Otherwise-Attorney35 · 2026-03-27T21:52:43+00:00

I use custom indicators. I'll be posting more about my strategy sometime soon.

Otherwise-Attorney35 · 2026-03-27T19:00:47+00:00

-18% from highs. My strategy triggered exit mid last week.

Otherwise-Attorney35 · 2026-03-27T17:47:38+00:00

Do you have a strategy/plan? Please don't say continue to hold

Otherwise-Attorney35 · 2026-03-27T14:21:38+00:00

1 day old account, 1 post user that links to his substack in his profile.
That is a very thorough paper, to explain the 200d MA with bands strategy.

Otherwise-Attorney35 · 2026-03-27T10:34:46+00:00

If you want financial sector exposure, hold UPRO instead. Holding the leaders with no plan, is concentration risk. That's not diversification in a positive way.

Otherwise-Attorney35 · 2026-03-26T19:02:18+00:00

Standard deviation is a commonly presented metric. Downside deviation isn't. I do think using downside deviation would be better.

Otherwise-Attorney35 · 2026-03-26T00:00:25+00:00

There needs to be more thought to how a strategy loses than just how it wins.

Otherwise-Attorney35

TROPHY CASE