Strategy Lab Notes
The stories behind the backtests — where each strategy came from, how it was tested, and what survived. Winners and losers alike.
The Backtest Claimed +60% in 11 Months. Ours Found Zero Winning Configurations.
A published gold trading strategy came with a spectacular backtest. We retested the same rules on three years of tick data with real costs and swept the complete parameter grid — all 72 combinations lost money. A case study in why single-period, cost-free backtests can't be trusted.
All 146 Configurations Lost Money: RSI(2) Mean Reversion Meets Gold
We transferred one of the most replicated mean-reversion strategies from daily equities to gold H1 and optimized it on three years of tick data with real costs. The optimizer found nothing — and the reason why is a lesson in edge geometry.
One Breakout Strategy, Two Currency Pairs, Two Opposite Endings
The Asian-session range breakout that started this whole project: +$35k on USD/JPY, −$5k on EUR/USD — identical rules, identical timing. What five years of tick data taught us about testing across instruments.
The Tokyo Fix Anomaly: a Real Edge That Still Didn't Make the Cut
We tested the famous 'gotobi' USDJPY anomaly on 7 years of tick data. It's real — and we still rejected it. Here's the whole story, including the bug we found along the way.