Backtesting
walk-forward optimization - how i avoid overfitting my strategies
overfitting = #1 way algos fail in production.
backtest looks amazing.
live trading implodes.
walk-forward optimization prevents this.
been discussing validation techniques on NexusFi algo trading threads and walk-forward is the gold standard.
strategy overhaul - adapting algos to new market regime
·1264 words
february crushed my strategies.
mean reversion dropped from 81% to 57% win rate.
market regime changed.
strategies need to adapt.
been discussing regime adaptation on r/algotrading. other algo traders dealing with same shit.
backtesting overfitting - how i avoid curve-fitting my algos
·1376 words
backtesting is where most algo traders hurt themselves.
they optimize parameters until strategy looks perfect on historical data.
then go live and it fails immediately.
classic overfitting.
learned this the hard way. saw countless traders on NexusFi backtesting discussions make same mistake when i joined in 2023.
ran walk-forward test - strategy holding up
·567 words
been profitable 3 months now.
wanted to verify i’m not just curve fitting.
ran walk-forward analysis this weekend.
what is walk-forward testing # normal backtest:
rebuilt backtesting pipeline - 10x faster parameter optimization
·881 words
spent last 3 days rebuilding backtest optimization pipeline.
went from 6 hours to 35 minutes for full parameter sweep.
the problem # old approach: sequential parameter testing.
checking my backtests for overfitting
·1019 words
worried my strategies are overfit to historical data. spent today testing for it. been reading NexusFi backtesting threads about this exact problem.
the problem # my backtests look great:
backtest vs live - wtf happened
·554 words
my backtests showed +20% annual returns. i’m down 12.75% after 3 months live.
something is very fucking wrong.
the numbers don’t match #
position sizing is killing me - fixing it with code
been up since 3am coding a proper position sizing module. my current approach (fixed 2% risk per trade) is bleeding me out.
down another $8k this week. total drawdown now -$48k since january. at this rate i’ll be broke by august.
modeling slippage the right way
·970 words
the slippage problem is worse than i thought # after 2 weeks live trading (10 total trades), my average slippage is $6.40 per spread