What is Backtest?
A backtest runs a trading rule over historical price data to see what it would have returned, as a check before any money is risked.
How it works
A useful backtest uses only the data available at each moment, charges realistic trading costs, compares the result with a fair benchmark such as buying and holding, and keeps some data back that the rule never saw. Results are usually reported as annual return, maximum drawdown and the Sharpe ratio.
What it can't tell you
A backtest shows what would have happened in the past, not what will happen. It breaks when the rule was tuned to the same data, when costs are left out, or when only the winners from many tries are shown.
How Tickfloor uses it
Every strategy on Tickfloor's evidence page was run through one harness that charges costs and sees data only up to a fixed cutoff.
Does it work as a strategy?
This is a concept more than a trading rule, so there is no single strategy to score. It matters for reading the results below.
Tickfloor's research desk has backtested 517 strategies, most against an equal-weight benchmark of the same assets rebalanced daily that pays no costs (the strategies pay theirs). After correcting for the 598 tests run (Benjamini-Hochberg), 0 passed. That does not prove no strategy works. These are historical diagnostics, not validation under Testing Standard v2: the backtest harness predates that standard and has not been re-run to meet it.
General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.
Common questions
What is Backtest?
A backtest runs a trading rule over historical price data to see what it would have returned, as a check before any money is risked.
How does Backtest work?
A useful backtest uses only the data available at each moment, charges realistic trading costs, compares the result with a fair benchmark such as buying and holding, and keeps some data back that the rule never saw. Results are usually reported as annual return, maximum drawdown and the Sharpe ratio.
What are the limits of Backtest?
A backtest shows what would have happened in the past, not what will happen. It breaks when the rule was tuned to the same data, when costs are left out, or when only the winners from many tries are shown.
How does Tickfloor use Backtest?
Every strategy on Tickfloor's evidence page was run through one harness that charges costs and sees data only up to a fixed cutoff.