Trading Strategy Graveyard

https://github.com/cmatthwilkes-debug/trading-strategy-graveyard

by Strawburry • 10 days ago

4 2 10 days ago

Many years ago I was once fooled too on a 15 min bar strategy trading the S&P Futs with Trade Station software, no real money traded on it, but the strategy backtested very well on 4 years of historical data. If you adjust parameters and then keep backtesting it better and better it's all just “curve fitting”.

Now my own human trading is successful scalping the NQ futs.

TradingReality• 7 days ago

This is fascinating. I'm checking it out now. We're doing something that you might want on your radar at ordersim: github.com/tradingexpert/ordersim. It's an inspectable, deterministic execution simulator for replaying real order-book data, with a Python-facing API and equivalent Python/C++ execution engines.

Most backtests collapse execution into a final PnL line. ordersim exists to inspect the path between order intent and actual fills.

Trading Strategy Graveyard

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