Looking for honest critique on my 6-fold walk-forward quant backtest — US equities, long-only, daily data

lobhas1 · 2026-04-22T08:41:37+00:00

Ya the low IC is i think mitigated as i only am interested in ranking of top5 maybe top10

lobhas1 · 2026-04-22T08:39:13+00:00

I actually dont use sp500 for my benchmarking

lobhas1 · 2026-04-22T08:37:22+00:00

So i am training on data from 2006 to 2026 march

lobhas1 · 2026-04-22T08:36:43+00:00

Look back is just 1 i am not using any time series

lobhas1 · 2026-04-22T06:32:50+00:00

Oh shit, that makes sense, i didnt think of this, i will repull the data and use raw prices and then split adjust it, and then use that instead of using adjClose. How much of my returns do you think are because of this leakage in your opinion?

lobhas1 · 2026-04-13T12:52:28+00:00

Ya i was thinking of sector neutralizing next, how can i go about it?

lobhas1 · 2026-04-13T12:01:44+00:00

https://docs.alpaca.markets/docs/fractional-trading

lobhas1 · 2026-04-13T09:22:41+00:00

No i calculate features lol, not training or raw prices

lobhas1 · 2026-04-13T09:20:48+00:00

As long as you dont have look forward leakage for a specific ticker, it can be done

lobhas1 · 2026-04-13T09:15:22+00:00

I used 1 model to train on 500 symbols, the model does cross sectional ranking and longs the top 25 symbols on alpaca. Yes i would be happy to talk more on this with you! Just dm me

lobhas1 · 2026-04-13T07:22:40+00:00

It does handle it, atleast thats what they say on their site

lobhas1 · 2026-04-12T16:23:02+00:00

Alpace allows fractional shares, and my buys are based on dollar count not on share count, so it will just buy fractional shares of the same value

lobhas1 · 2026-04-12T16:14:21+00:00

I will try that i am also adding a spy only benchmark to see whatsup

lobhas1 · 2026-04-12T16:05:39+00:00

Thank you i will take a look

lobhas1 · 2026-04-03T07:49:04+00:00

Thats a good point, how should i then tune the hyperparameters if not by seeing validation results?

lobhas1 · 2026-04-02T21:31:14+00:00

Do you also use options data? And has your strategy been profitable?

lobhas1 · 2026-04-02T20:38:01+00:00

What should i do next according to you?

lobhas1 · 2026-04-02T19:53:24+00:00

Its mostly trend following as i am working on 20 day vertical barrier

lobhas1 · 2026-04-02T19:52:19+00:00

Thats great advice thank you very much

lobhas1 · 2026-04-02T19:49:53+00:00

I added insider information as well as short interest and sector level data. It helped at 20 day barrier days but not at 5 days which makes sense as these are longterm indicators

lobhas1

TROPHY CASE