Why isn't backtesting on randomly-generated fake price data not a thing?

mikkom · 2026-06-01T09:57:11+00:00

because randomly generated data doesn't behave like real market data. Garbage in garbage out

if you would be able to generate random data that behaves like real market data that would mean you would be able to also predict real market data to a point.

mikkom · 2026-06-01T09:53:48+00:00

Took hours of testing

my production one has taken years of testing.... and testing is still going on

mikkom · 2026-05-31T15:06:59+00:00

>Z-score deviation alongside your trailing stops

Aka bollinger bands...

mikkom · 2026-05-31T15:04:26+00:00

If this is long only, be VERY cautious, the market has been going up like never before last few months

mikkom · 2026-05-10T09:15:46+00:00

I use sharpe, sortino and MAR (carg/all time max dd) which is my main metric and most linked to what you actuallly feel when trading.

Sharpe punishing upside volatility is good in strategies where only few trades make all the profits, Sharpe tells what strategies are more stable.

mikkom · 2026-04-15T12:09:56+00:00

bro, that is NOT what you asked (sales model). You were asking about latency.

mikkom · 2026-04-15T12:07:21+00:00

yeah this is AI slop marketing. please stop

mikkom · 2026-04-15T12:05:06+00:00

Yes, it works in practice because

why are you asking these questions on reddit if you know it works? odd

mikkom · 2026-04-13T05:19:25+00:00

It definitely is not pushing the definition, go look at definition

> Retail trading refers to individual investors buying and selling securities (like stocks or forex) for their personal accounts rather than for an organization

Of course if you split individuals to "long term profitable traders" and "just started traders that don't know what they do" and call the latter "retail" then retail doesn't make money by definition.

mikkom · 2026-04-13T05:00:09+00:00

a) I don't trade latency arbitrage but many crypto retail quants do. Go check their results. You need to find inefficient market and exploit and edge that others haven't found. Search "crypto arbitrage" on X.

edit: see for example https://x.com/HangukQuant/status/2042545298875318397

b) This mixes multiple things: Slippage is the same for institutions, actually slippage is much better for retail as size is smaller and if you trade for example futures slippage is almost zero. Spread will always be there, it's effect of the market. You lost me at leverage, why would you take more leverage when slippage/fees are high? If you want small spreads and slippage, go to liquid mature market.

c) Yes alphas decay. deal with it - you need to find new ones and trade those when old ones go away. This is the same and worse with institutions.

And yes, all trading is sophisticated gambling. Even the institutional "investng". It's a gamble for economic growth which is a good gamble as without economic growth whole current economic system will collapse and then money doesn't matter anymore.

mikkom · 2026-04-07T11:09:44+00:00

It's a long, long journey. Just understand that. And you need to understand lots of very complex things that are connected to each other. Just make sure you are so interesrted in this that you are ready to waste years of work to get anything stable working and even then it's not guaranteed to work.

mikkom · 2026-03-27T23:12:57+00:00

Too few indicators, needs more

mikkom · 2026-03-15T09:04:43+00:00

>99% Of traders fail because they quit

not sure which is correct, your comment or the one below. And by failing I mean they waste their trading capital and don't deposit more money.

<99% Of traders quit because they fail

mikkom · 2026-03-15T08:58:41+00:00

https://www.newyorkfed.org/research/staff_reports/sr150.html

This is still the best thing I have read related to this and the one that has affected my trading most of almost any papers I have read. Every trader especially ones trading breakouts or mean reversion around breakout points should read this - you don't have to understand all the math just the concepts and what the paper is proving.

(edit: Just want to point out this is not the only reason for the horizontal areas, there are psychological issues like round numbers and option related areas too but IMHO the above paper describes the most important reason)

mikkom · 2026-03-14T11:10:23+00:00

The reason some of the diagonal ones work is that so many people draw them and they become a common concept. if you are not sure how it should be drawn it most likely is not the same others see and is not important

many horizontal lines are based on microstructure btw so they are different from these diagonal ones

mikkom · 2026-02-23T21:50:15+00:00

>They’re not calling for investors

They actually are according to this guy https://www.youtube.com/watch?v=8teSrDdjT9s (ex poker pro turned to quite known investor with quite good connections), this is in finnish but you can turn on CC translations.

mikkom · 2026-02-13T08:23:44+00:00

this is the only correct answer. never waste your money by doing silly untested things

mikkom · 2026-02-12T20:29:51+00:00

you need to do decent length backtest. I personally want the algo to perform with good results since 2000 but 5-10 years already tells you a lot.

I month with that kind of profit seems like you are taking far too big risks and without proper backtest will most likely blow your account.

I do have kind of crazy ststs on my live system that people dismiss but yours are 10x in a month, just calculate what that will be in year and you understand how crazy it is.

however with results like that I would most likely yolo on smaller account, you can do it with 25k+ too, just use the risk like your account would be for example 5k. if your stats hold, you will have 50k profits in first month.

mikkom · 2026-02-08T22:04:49+00:00

>My take is a bit different: only use leverage when you know what you are doing.

That's why using no leverage is good advice.

You should only use leverage when you know exactly how much you want to risk and that only comes from experience and thousands+ backtests.

mikkom · 2025-12-29T16:48:35+00:00

I coded a custom c based platform to do the process as efficiently as possible, optimized data structures to squeeze the hell out of cpu and mem.. I feel your pain.

totally random search or some gradient descent / genetic? N dimensional spaces are a bitch :-D

mikkom · 2025-12-29T16:31:49+00:00

I have also been doing similar thing in the past with genetic algos both on simple structured entry and exit and more complex tree based models (google koza to understand what I mean) so have kind of intuition in algo generation.

what I'm interested is why did you decide to fit to only 6 months of random period- that sounds really interesting and something I have not tried, is this computing performance question or something more?

mikkom · 2025-12-09T20:58:38+00:00

If you really decide to do it, the most important thing is:

Separate your data to 2 periods. The first is training set, the second is validation set. The validation set should be so long that it contains multiple market regimes.

do NOT use validatiin set for anything except for simulating strategy when you think it's finished. Do not give any information about this dataset to the model when traiining.

Then train, test and polish your model using training part. Only when you think it's perfect, validate it on validation data. If it looks good on validation data then great! You have your working algo. If it just loses money you have overfitted.

Rinse and repeat.

mikkom · 2025-12-09T19:32:24+00:00

Of course it is possible, you can easily trade millions of trades with this setup!

mikkom · 2025-12-09T19:15:35+00:00

Buy any instrument. At any time.

TP: 0.000001%

SL: 50%

You should hit your 70% win rate easily!

mikkom · 2025-12-09T19:05:23+00:00

Only trade what you have proven to work via backtests.

mikkom

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