Backtesting
Rigorous Historical Validation Methodology
Backtesting is not proof of a working strategy — it is one step in a process of disconfirmation. Our methodology is designed to find and expose weaknesses, not to produce flattering metrics.
Seek to Disprove
Every backtest is designed with the goal of disproving the hypothesis. If the strategy survives rigorous scrutiny, the results become more meaningful — not less.
Out-of-Sample First
In-sample results are used for development only. All reported performance figures are validated on held-out data the strategy was never optimised against.
Realistic Assumptions
Slippage, commission, and bid-ask spread are modelled explicitly. Performance figures assume realistic fill conditions, not theoretical best-case executions.
Metrics
Performance Metrics Explained
Every metric reported has a precise definition and an explicit interpretation context.
Total Return
Overall percentage gain or loss over the backtest period. Must be evaluated alongside risk metrics, not in isolation.
Profit Factor
A ratio above 1.0 means the strategy generates more gross profit than gross loss. Values above 1.5 are generally considered meaningful; above 2.0 is strong but requires out-of-sample confirmation.
Sharpe Ratio
Risk-adjusted return per unit of volatility. Above 1.0 is acceptable; above 1.5 is good; above 2.0 is excellent. Computed on monthly equity returns.
Maximum Drawdown
The largest peak-to-trough equity decline. A critical risk metric — a strategy with high returns but severe drawdown may not be psychologically or financially sustainable.
Win Rate
Percentage of trades that closed profitably. Must be considered alongside average win/loss ratio. A 40% win rate with a 3:1 R:R can be more profitable than a 65% win rate with 1:1 R:R.
Average Win / Loss Ratio
How much the average winner earns relative to the average loser. Combined with win rate, this determines long-run expectancy.
Validation Process
Four-Phase Validation Framework
In-Sample Development
Jan 2021 – Dec 2023Strategy parameters are developed and selected using this window. Results here represent the best-case and are always subject to overfitting scrutiny.
In-sample only — used for development, not evaluation.
Out-of-Sample Validation
Jan 2024 – Dec 2025The strategy is run unchanged on this held-out period to validate that results are not purely artefacts of curve-fitting to historical data.
Critical validation window — determines if the strategy generalises.
Walk-Forward Analysis
Rolling 12-month windowsSequential optimisation and forward-test cycles to assess parameter stability across different market regimes.
Robustness check — looks for parameter sensitivity and regime dependence.
Monte Carlo Simulation
10,000+ random trade sequencesRandom resampling of the trade sequence to estimate the distribution of possible outcomes, max drawdown risk, and probability of ruin.
Stress test — reveals tail risk hidden in sequential backtest results.
Results
Backtest Results — All Strategies
Full backtest: Jan 2021 – Dec 2025 · Silver Futures (SI) · 1H bars · $100,000 initial equity
| Strategy | Return | Profit Factor | Sharpe | Max Drawdown | Win Rate | Avg W:L | Trades | Avg Duration |
|---|---|---|---|---|---|---|---|---|
ST-Base Base Supertrend System | +45.2% | 1.35 | 0.85 | -18.4% | 42.5% | 1.80 | 245 | 4.5 days |
ST-Multi Multiple Confirmation System | +62.8% | 1.68 | 1.25 | -12.1% | 48.2% | 1.90 | 168 | 6.2 days |
ST-TSL Target/Stop-loss Integration | +55.4% | 2.10 | 1.65 | -8.5% | 52.4% | 2.00 | 185 | 2.1 days |
Explore the Full Dashboard
See all strategies, equity curves, and trade logs in the interactive research dashboard.