Is Your Backtest Too Good to be True? Here's How To Tell
By Dave Mabe
In this week's episode of Line Your Own Pockets, we tackle one of the most important issues for systematic traders: is your backtest too good to be true?
The best time to discover your backtest is unrealistic is as early as possible, even if it ruins your day (I've been there SO many times!).
We discuss:
Make your default stance skepticism rather than excitement
Understanding future leak - probably the most common way backtests fall apart in live
Beware entry/stop/exits happening in the same bar (and how you can deal with this)
How to identify unrealistic outlying trades quickly
Your reconciliation process with your backtest is your ultimate backstop for ANY issue
And much more...
Whether you're a seasoned veteran or a systematic trading newbie, you'll want to listen.
-Dave
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