Backtesting That Respects Reality
Most backtests lie. We show ugly truths early. That builds trust.
In-Sample Performance (2020-2023)
Total Return: +127.4%
Max Drawdown: -18.2%
Win Rate: 68%
Sharpe Ratio: 1.84
Out-of-Sample Reality (2024)
Total Return: +42.1% (-67% worse)
Max Drawdown: -24.8% (-36% worse)
Win Rate: 54% (-21% worse)
Sharpe Ratio: 1.12 (-39% worse)
Reality Check: Performance always degrades on unseen data.
With Slippage & Fees
Realistic costs by liquidity tier:
High Liquidity (AAPL, MSFT): 0.05% slippage + $1 commission = -$51 per $100k trade
Medium Liquidity: 0.15% slippage + $1 commission = -$151 per $100k trade
Low Liquidity: 0.40% slippage + $2 commission = -$402 per $100k trade
Impact: -12.4% annual return after real costs
Stress Test: Would You Have Survived?
COVID Crash (Mar 2020)
-34% drawdown in 18 days. Would have triggered your -30% stop. You'd be out.
2022 Bear Market
-26% drawdown over 9 months. Slow bleed. Psychological torture. Could you hold?