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Module 03 · Checklist

The backtest questions SFZ should help you answer fast

These checks keep the engine aligned with real operational decisions.

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.
In this lesson
  • Metrics that matter
  • Reasons to fail the strategy
Try it — do costs eat the edge?

A backtest that ignores costs lies. Each round-trip pays commission and slippage. See how a thin gross edge survives — or doesn't — once real costs are modelled.

Gross return
—
Net return
—
Cost drag
—
Backtesting trap to avoid

Do not tune until the bad period disappears.

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