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Notes on practice

Writing on backtesting, execution and trading without hindsight: how a backtest misleads, what fills really cost, and how to test a strategy by hand.

Sep 24, 20263 min read
Lookahead bias: how a backtest cheats without telling you
The four most common ways future information leaks into a backtest, why the results still look believable, and how to rule the leak out by construction.
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Sep 24, 20262 min read
Why we hide the dates
A date on the axis is a spoiler. Blind replay hides the calendar, so what is left is your read of the chart, and the reveal at the end becomes the lesson.
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Sep 24, 20262 min read
What a fill really costs
The next open, the spread, commission and stops that fill worse than their price: the frictions that decide if a strategy that works on paper works at all.
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