Historical testing, assumptions, and anti-overfit controls
Backtesting Strategy Lab
Backtests answer whether a strategy historically worked, under what conditions, and what assumptions could make the result misleading. This is research only, not financial advice.
User guidance
Backtest Interpretation Guide
Change one assumption at a time, run the test, then compare return, drawdown, profit factor, and out-of-sample behavior.
The strategy survives slippage, walk-forward testing, data coverage warnings, and realistic position sizing.
Performance depends on one parameter, options history is estimated, or drawdown rises faster than return.
Editable research controls
Backtest Configuration
Last run
Run #1 using Momentum
The current MVP recalculates mock metrics from these controls. Later this should call a real backtest engine.
11 strategy templates
Strategy Library
Momentum
stock: OnBuy strength with volume confirmation and trend filter.
Mean Reversion
stock: OnBuy stretched pullbacks when RSI and support align.
Moving Average Crossover
stock: OnEnter when short trend crosses above long trend.
Breakout
stock: OnTrade range breaks with relative-volume confirmation.
Earnings IV
options: OnVolatility setups around earnings with IV-rank filters.
Sentiment Momentum
news: OnFollow improving sentiment and positive catalyst clusters.
Congress Trade Follow
congress: OnDelay-aware follow after disclosed purchases.
Covered Calls
options: OnSell calls against stock exposure when IV is elevated.
Cash-Secured Puts
options: OnSell puts on quality names with assignment cash reserved.
Credit Spreads
options: OnDefined-risk premium collection using POP and liquidity gates.
Debit Spreads
options: OnDefined-risk directional options trades with capped reward.
Best Strategy
Momentum
Highest risk-adjusted read
Total Return
20.5%
Full period
CAGR
12.0%
Annualized
Max Drawdown
-7.5%
Peak-to-trough
Sharpe
1.35
Risk adjusted
Profit Factor
1.53
84 trades
Comparable performance metrics
Results Dashboard
| Strategy | Total Return | CAGR | Max DD | Sharpe | Sortino | Win Rate | Profit Factor | Trades | Avg Win | Avg Loss | Best | Worst | Risk |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Momentum | 20.5% | 12.0% | -7.5% | 1.35 | 1.91 | 57.0% | 1.53 | 84 | $756.00 | -$390.00 | $4,672.00 | -$1,550.00 | Risk: 5.8/10 |
| Cash-Secured Puts | 11.5% | 6.7% | -4.9% | 1.10 | 1.51 | 68.0% | 1.23 | 47 | $263.00 | -$410.00 | $1,127.00 | -$1,450.00 | Risk: 4.7/10 |
| Credit Spreads | 10.1% | 5.9% | -5.6% | 1.02 | 1.35 | 64.0% | 1.19 | 52 | $225.00 | -$360.00 | $920.00 | -$1,220.00 | Risk: 5.0/10 |
| Sentiment Momentum | 13.2% | 7.8% | -6.1% | 0.99 | 1.39 | 54.0% | 1.16 | 62 | $488.00 | -$315.00 | $2,910.00 | -$1,180.00 | Risk: 5.2/10 |
| Congress Trade Follow | 9.0% | 5.3% | -8.8% | 0.76 | 0.97 | 51.0% | 1.01 | 119 | $385.00 | -$385.00 | $2,159.00 | -$1,600.00 | Risk: 6.4/10 |
Ending equity by month
Equity Curve
Risk path
Drawdown Curve
Distribution of outcomes
Monthly Returns
Entry, exit, scores, and reasons
Trade Log
| Ticker | Strategy | Entry | Exit | Entry Price | Exit Price | P/L | Return | Entry Reason | Exit Reason | AI Score | Risk |
|---|---|---|---|---|---|---|---|---|---|---|---|
| NVDA | Momentum | 2025-02-03 | 2025-02-21 | $126.40 | $139.80 | $2,680.00 | 10.6% | Trend breakout with 1.8x relative volume | Take profit | 82.0 | 6.1/10 |
| AMZN | Sentiment Momentum | 2025-03-12 | 2025-04-02 | $178.10 | $187.40 | $930.00 | 5.2% | Improving catalyst sentiment | Momentum faded | 74.0 | 4.8/10 |
| AAPL | Congress Trade Follow | 2025-05-09 | 2025-06-06 | $192.30 | $188.60 | -$740.00 | -1.9% | Purchase disclosure inside freshness window | Stale disclosure decay | 61.0 | 5.9/10 |
| MSFT | Cash-Secured Puts | 2025-07-18 | 2025-08-15 | $5.20 | $1.90 | $330.00 | 63.5% | IV rank elevated, quality name | Premium capture | 79.0 | 4.2/10 |
| TSLA | Credit Spreads | 2025-09-04 | 2025-09-19 | $1.85 | $3.20 | -$540.00 | -73.0% | High POP spread | Stop loss | 67.0 | 7.1/10 |
Return versus risk
Strategy Comparison
Momentum
Score: 70.8Return 20.5% versus drawdown -7.5%
Cash-Secured Puts
Score: 46.3Return 11.5% versus drawdown -4.9%
Credit Spreads
Score: 41.3Return 10.1% versus drawdown -5.6%
Sentiment Momentum
Score: 47.6Return 13.2% versus drawdown -6.1%
Congress Trade Follow
Score: 31.2Return 9.0% versus drawdown -8.8%
Grid search summary
Parameter Optimization
Fast MA / Slow MA
Tested: 10/50, 20/100, 50/200
Best: 20/100, return 18.4%, drawdown -7.5%
RSI Entry
Tested: 25, 30, 35, 40
Best: 35, return 13.2%, drawdown -5.9%
Breakout Window
Tested: 20d, 55d, 90d
Best: 55d, return 16.7%, drawdown -8.1%
Stop / Target
Tested: 5/10, 6/12, 8/16
Best: 6/12, return 18.9%, drawdown -7.8%
IV Rank Threshold
Tested: 25, 40, 60
Best: 40, return 12.8%, drawdown -4.7%
Anti-overfit split
Walk-Forward Testing
Training: +11.6%
2023-01 to 2024-03
Validation: +7.8%
2024-04 to 2025-03
Out-of-sample: +5.9%
2025-04 to 2026-05
Passing walk-forward means performance persists after parameter selection. It does not guarantee future results.
Resampled trade outcomes
Monte Carlo Simulation
Data quality assumptions
Options Backtesting Warnings
Real historical options chains may be unavailable for parts of the period.
Estimated option pricing uses IV, delta, theta, and spread assumptions.
Wide bid/ask spreads are penalized; fills may still be too optimistic.
Assignment and early exercise are simplified for covered calls and cash-secured puts.
Earnings IV crush is modeled as an assumption, not a tick-accurate options replay.
Delay-aware disclosure testing
Congress Strategy Backtest
Entry begins after disclosure date, not transaction date.
Stale disclosure filter removes rows older than 45 days.
Purchase-only variants outperform all-transaction variants in this mock run.
Committee exposure is treated as a relevance flag, not evidence of misconduct.
SPY benchmark comparison is required before trusting excess return.
News catalyst replay
Sentiment Strategy Backtest
Improving sentiment is tested separately from absolute positive sentiment.
Legal, SEC, and lawsuit categories apply a negative catalyst penalty.
Overhyped sentiment fades after score extremes unless price confirms.
News coverage gaps can bias results toward larger-cap tickers.
Priced-in penalty reduces entries after large same-day gaps.
Score attribution
AI Recommendation Replay
Technical score
Predictive in 61% of winning trades
Liquidity score
Reduced worst losses by filtering poor fills
Sentiment score
Useful when improving, weaker at extremes
Congress score
Needs delay-aware and benchmark-adjusted validation
Tail risk score
Best used as a sizing reducer, not an entry signal
What the backtest knows
Data Coverage Panel
Price data
Live/fallback daily candles
Date coverage
2023-2026 sample window
Missing days
Market holidays ignored
Options history
Estimated where chain history missing
News coverage
Provider-dependent large-cap bias
Congress coverage
House + Senate disclosure delays
Survivorship bias
Warning active; universe must be point-in-time later
Research packet
Exportable Report
Includes: strategy config, metrics, trade log, assumptions, data coverage, warnings, and disclaimers.
Decision use: compare strategies before paper deployment, then replay AI recommendations against real paper results.
Past performance does not guarantee future results. Backtests can be wrong due to slippage, data gaps, overfitting, survivorship bias, and missing options history.