The backtest questions SFZ should help you answer fast
These checks keep the engine aligned with real operational decisions.
- Do not tune until the bad period disappears.
- Do not compare systems with incompatible capital assumptions.
- Do not treat one high-performing run as robust evidence.
Metrics that matter
- Expected drawdown versus capital budget.
- Consistency across symbols or market slices.
- Recovery speed after weak periods.
Reasons to fail the strategy
- Performance depends on one short historical burst.
- Small parameter changes collapse the result.
- The strategy only looks good when sizing is unrealistic.
Ready for the terminal when
- The rule set remains understandable after testing.
- The drawdown path is uncomfortable but still acceptable.
- You know exactly what live behavior would invalidate the thesis.