Jordon Harrell · Quanticator

Verifying trading scripts and claimed backtests — mine included. Author, Trading as a System. Free: the 10 checks I run before I believe a backtest ↓

[Jordon Harrell · Quanticator @Quanticator]

Most backtests fail on arithmetic, not strategy.

60% wins over 25 trades: the 95% interval is roughly 41–77%. A profit factor of 2.0 at 35% wins needs winners 3.7× the size of losers.

The 10 checks I run before I believe a backtest, free on one page:
https://t.co/dTvRvJGXrI

[Jordon Harrell · Quanticator @Quanticator]

@Venu_7_ Of the 7 losers, 5 closed at -9 to -10%. FORM and VSH reached -34% and -48%: 82 points between them vs 46 for the other five combined. I'd log why each got past the usual exit (a gap or a hold); that line does most of the loss control.

[Jordon Harrell · Quanticator @Quanticator]

The whole check: payoff from the profit factor, breakeven from the payoff, expectancy from both, then the cost that zeroes it. Two minutes.

If your round trip is near that number, you hold a fee schedule, not a strategy.

That's one of ten. The rest are in my profile.

[Jordon Harrell · Quanticator @Quanticator]

One number decides whether a backtest is a business, and almost no report prints it: the cost per trade at which the whole thing goes to zero.

It takes four lines of arithmetic from numbers the report does print. Seven posts.

[Jordon Harrell · Quanticator @Quanticator]

This is why "stress-tested at double the costs" answers the wrong question. Double of what?

Solve for the break-even cost instead, then put your own fills next to it. One number, no choices in it, nothing to argue about.

[Jordon Harrell · Quanticator @Quanticator]

@FreedomTradesx The 10% is the number to test. Pull each holding's worst overnight gaps over the past five years; a name that has gapped 30% on earnings turns a 25% position into a 7.5% hit, and a stop underneath fills near the open, not at its level.

[Jordon Harrell · Quanticator @Quanticator]

@panicsellweekly It helps to put expected variance in numbers before the loss: list the backtest's worst single-trade losses in R. A loss that shows up once per 100 trades has about a 78% chance of appearing at least once in a 150-trade year.

[Jordon Harrell · Quanticator @Quanticator]

Commission-free is not cost-free. The fee moved into the spread.

Cross a five basis point spread both ways and you paid five basis points a round trip, with nothing in the commission field to show it. On an eight basis point gross edge you keep three.

Ask for the spread.

[Jordon Harrell · Quanticator @Quanticator]

@nicaqs In the late-2021 to 2022 decline, NVDA had two rallies of 30%+ on daily closes (March, then July to August) before its October 2022 low, about 66% under the peak. Both ended in lower lows, so a sharp bounce alone didn't split the paths.

[Jordon Harrell · Quanticator @Quanticator]

@MikeZaccardi Worth checking the basis: intraday high to an after-hours print usually reads deeper than close to close, and most backtest max-drawdown figures use daily closes. Same move, different number depending on which prices you measure.

[Jordon Harrell · Quanticator @Quanticator]

@SowingAlphaSeed Before sizing the trend piece, pull the months when your biggest factor bets fell together and score the sleeve there on its own. Trend often lags the first leg of a sell-off, and a 10% sleeve up 20% in a bad month only offsets 2 points.

[Jordon Harrell · Quanticator @Quanticator]

@thetraderoom_ One check for this: log each trade's size as a multiple of your normal risk, next to the result of the trade before it. If the oversized ones cluster after wins, the slip has a trigger you can write a rule against.

[Jordon Harrell · Quanticator @Quanticator]

@StockSavvyShay Zooming out shrinks every drop by construction. On a log chart of a stock that went up 20x, a 25% selloff fills under 10% of the axis height. I would size the move in percent from the high and in days spent below it, not in pixels.

[Jordon Harrell · Quanticator @Quanticator]

@HBResearchX With 11 cases, even 10 up out of 11 has a 95% range of about 62% to 98%, which still takes in the usual six-month base rate. Also worth counting how many of the 11 fired within six months of another, since those share one forward window.

[Jordon Harrell · Quanticator @Quanticator]

@GroupFinom Worth checking how many of the ETF's top 10 holdings printed the same island. A top-heavy fund can show both gaps when two or three of its biggest names do, so the pattern can be a few stocks' gaps rather than the whole sector's.

[Jordon Harrell · Quanticator @Quanticator]

@AndrewThrasher Easy to test: take every 5%+ S&P drawdown, mark the day it got back half, and log whether it turned lower within 10 sessions. Repeat at 40% and 60%. If 50% doesn't stand out from its neighbors, the level isn't doing the work.

[Jordon Harrell · Quanticator @Quanticator]

@prrobbins One way to put a number on smaller: hold the dollar swing constant. If a stock's ATR(14) goes from 2% to 3.5% of price, keeping the same dollar risk takes about 57% of the old share count. Same size in a wilder tape is a bigger bet.