Backtesting a Strategy

A backtest that looks extraordinary is usually a description of the past rather than a prediction about the future. This course builds one properly, then shows you every way the number in front of you can be a lie.

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Six things you will be able to do

Go past the equity curve. Learn what a backtest is really measuring, and the four ways it flatters itself.

01 Write the rules firstEntry, exit and sizing, fixed in writing before you look at any result.
02 Split the data honestlyIn sample and out of sample, with the second set genuinely untouched.
03 Charge realistic costsCommissions, spread and slippage, applied before you judge anything.
04 Remove look ahead biasData that was not available at the time, and how it sneaks into a test.
05 Handle survivorshipDelisted and failed names, and what leaving them out does to your result.
06 Count your attemptsWhy a hundred tested variants makes the best one meaningless.

What changes after this course

You stop reading an equity curve as evidence and start asking what it was fitted on, and what it has never been asked to survive.

A backtest split honestly, with results on data the rules never saw

Costs, slippage and survivorship applied, so the result is what a trader gets

A written record of what was tried, so the result can be judged fairly

What our learners say

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