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by Marigold

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Suggested foundations for trading research and honest backtests. Specialist prerequisites vary by resource.

Point-in-Time Data
Use only information available at the simulated decision time.
Time-Ordered Train, Validation and Test Design
Separate model selection from the final evaluation.

Positions, Trades, Fills and P&L
Reconcile signals, executions, positions and P&L.
Financing, Borrow and Transaction Costs
Include the costs that can erase a paper strategy.

From trading ideas to honest backtests
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.