Quantitative trading

Lessons

1. 1

   Lesson 1

   What quantitative trading is: rules, evidence and realistic expectations

   Quantitative trading replaces case-by-case judgement with written rules that are tested on past data before any money is risked. This lesson explains what that changes, what it cannot change, where an individual trader can realistically compete, and why most honest research ends with the answer “no edge”.

   11 min

2. 2

   Lesson 2

   Turning an idea into testable rules

   An idea becomes testable only when every decision is written down: the universe, the filter, the entry, the stop, the exit, the size and the moment of the fill. This lesson covers the building blocks (price, moving averages, RSI, ATR, volume), position sizing from risk, and how vague wording lets hindsight into a test.

   13 min

3. 3

   Lesson 3

   How a backtest works: data, benchmark, costs and the numbers that matter

   A backtest replays written rules one day at a time on past prices and reports what an account would have done. This lesson explains the replay, the choice of benchmark, trading costs and slippage, the main statistics (CAGR, Sharpe ratio with a risk-free rate, maximum drawdown, exposure, trade count) and the difference between price return and total return.

   14 min

4. 4

   Lesson 4

   Overfitting and the holdout period: in-sample, out-of-sample and four honest verdicts

   Any rule can be tuned until it fits the past. This lesson explains overfitting, the difference between in-sample and out-of-sample results, why Clear Tape splits history at a fixed date (training 2000–2014, holdout 2015 onward), and how the four verdicts, Passed holdout, Trade-off, No edge and Not enough data, are decided.

   14 min

5. 5

   Lesson 5

   Parameter sweeps: multiple testing, plateaus and isolated peaks

   Testing many settings of the same rule and keeping the best is a quiet form of overfitting. This lesson shows how much luck the best of many tests contains, defines the plateau rule Clear Tape uses to judge a sweep, and explains how to read a heat map so that the holdout period stays a fair test.

   13 min

6. 6

   Lesson 6

   Data traps: survivorship bias, look-ahead bias, adjustments and point-in-time data

   A backtest is only as honest as its data. This lesson covers the traps that make results look better than they were: testing only today’s survivors, using information before it was available, unadjusted splits and missing dividends, absent delisted stocks and restated fundamentals. For each, it explains the effect and the practical defence.

   13 min

7. 7

   Lesson 7

   From backtest to live trading: small size, a journal and rules for stopping

   A rule that passed its tests still has to prove itself with real orders. This lesson explains why live results usually trail the backtest, how to start small, how to compare a trading journal with the range the backtest implies, when to drop a strategy, and how changes of market regime affect rule-based trading.

   13 min

8. 8

   Lesson 8

   Hands-on in Clear Tape: from the library to a saved study

   This lesson walks through the whole research loop in Clear Tape’s Backtest tab: starting from the library, running the holdout test, reading the verdict, its reasons and the disclosures, running a parameter sweep and reading its heat map, and saving the study so that it is re-checked every month.

   12 min