Glossary

Backtest

Applying a set of rules to historical data to see how it would have behaved — useful for understanding a strategy, never a forecast of the future.

A backtest runs a set of rules over past data to study how a strategy would have behaved: its returns, its drawdowns, how it held up across different market regimes. It is a way to understand a rule's character, not evidence that it will work ahead.

Backtests are easy to flatter — by tuning on the same data, ignoring costs, or choosing a lucky window. An honest backtest models realistic costs and assumes the future will differ. Past behaviour informs a decision; it never settles it.

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