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Systems and Backtesting

Turn a discretionary idea into a written, testable trading system, then prove (or disprove) its edge honestly: backtest the rules, respect sample size, avoid curve-fitting, validate out-of-sample with walk-forward, and bridge the gap from backtest to live with realistic execution, slippage, and forward testing.

  1. Module 1
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    Designing a Trading System

    Make the idea explicit: define the components of a system, write entries that a computer could check, and specify exits that bound risk and let winners run.

  2. Module 2
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    Testing a System Honestly

    Convert rules into evidence without fooling yourself: backtest correctly, demand enough trades to trust the result, recognise curve-fitting, and validate on data the system never saw.

  3. Module 3
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    From Backtest to Live

    Close the gap between a clean backtest and a real account: model order types and fills, subtract slippage and spread, and go live in a way that protects capital while the edge proves itself.