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"Virtue is what you do when nobody is looking. The rest is marketing. " - Nassim Taleb #marketing
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I'm a simple man with simple approach. I don't go too deep into statistics on those. What I do:
- Backtest always using -5% handicap for slippage, fees and what have you. And that's from position value, not gains. So you start every trade down -5% on your position. Backtest being pessimistic and you might be positively surprised by the live performance.
- Backtest with data from start of 2019 until today. Examine the period using fixed $ position size instead compounding. That time period has so many different cycles within it that it gives me an understanding of how the setup works in different market conditions. Be it bull market, bear market , a theme or what have you.
- Combine the performance of my strategies from 2019 until today and examine the P&L development on daily, weekly and monthly level using fixed position size to understand both profit potential and maximum expected drawdowns.
Probably forgot something but I think those are the main elements related to your question.
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