Trust your trade statistics
A trading rule feels obvious long before it is measured. A trade statistics report is what tells you whether the edge behind it is real.
Blog · 6 published
Where backtests break.
Notes from testing other people's strategies: the failure modes we see most, the methods that catch them, and the diagnostics that separate a real edge from a lucky parameter. Written by the people who run the tests.
No signals, no tips, no market calls — we test what clients specify and report what we find. RSS
The three forces moving an options
A single option premium is built from three separate forces, and two of them can move without the underlying's price changing at all.
The Win-Rate Illusion: Why Professional Traders Focus on Expected Value
Win rate on its own says nothing about profitability; expected value combines it with the size of wins and losses to show whether a rule has an edge.
Why a 30% win rate can beat a 90% win rate: understanding expected value
Win rate alone says how often a strategy is right; expected value says what each outcome is actually worth.
You Don't Need to Predict the Market
A rule that wins under half its trades can still have positive expectancy once win size and loss size are weighed, not just frequency.
Why we resample blocks of trades, not single trades
Monte Carlo on a trade list flatters the tail if you shuffle trades one at a time. Losses cluster. The resampling has to keep the clusters.