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bellwether

Lab & evidence

Backtests versus the track record, and what does and does not count as proof.

4 articles

The Lab is a workbench: stress tests on the live book, queued backtests, replays. It changes no setting and it proves less than it looks like it proves.

  1. Backtests versus the track recordWhat the Lab's four tabs do, how queued backtests and sweeps carry their own honesty numbers, and why the live record on Performance is the number that counts.Everyone on the book4 min read
  2. What counts as proofAn in-sample backtest is not proof. What is: out-of-sample and walk-forward results, deflated Sharpe, costs and survivorship taken seriously, a paper record over time, scored calls, and a readiness scorecard.Everyone on the book4 min read
  3. Evidence before moneyTwo honest halves (a deterministic backtest report and the forward-only live track record), plus what each does and does not prove, and how to export, print or email them.Everyone on the book5 min read
  4. Sharpe ratio: what it is, why we chase it, and why one good year proves nothingThe desk's scoreboard and goal (return over cash per unit of bounce): how Bellwether measures it with an honest interval, what a Sharpe of 1.0, 1.5 or 2.0 actually feels like in a year, and why it is never one of the signals.Everyone on the book8 min read