01 Home02 Research03 Projects04 Notes05 About06 Lab
Home/Notes/Quantitative research

Before trusting a backtest

Check what was knowable at each decision, then compare against a simple baseline.

Topic
Quantitative research
Analysis
Jul 2026
Status
Working note
Related
Helix

The first question is not whether a curve rises. It is whether every input was available when the decision was made. I look for point-in-time membership, realistic execution prices, costs and a test window left untouched by model selection.

A random walk or simple momentum baseline is often more useful than another complex model. If the candidate fails that comparison, the failure is information about the research process.