Backtests & Track Records: What Historical Results Really Show
Understanding simulation, recognizing misconceptions and retracing the path from historical explanation to prospective testing.
Costs, risk & calculators
Costs, risk & calculators
Make costs transparent, calculate sizes and check assumptions.
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Correctly assess historical performance
Substantive structure
Topic register.
Spread versus Commission
What is the total cost of a transaction?
Financing, swap and roll-over
What does the holding period cost?
Currency conversion and other fees
What costs are outside the trade?
Pip, Point, Tick and Lot
Which unit describes which size?
Position size calculator
What size corresponds to the assumed loss budget?
Margin calculator
What security performance does the chosen model yield?
Pip and tick calculators
How does the monetary value of a price movement change?
Trading cost calculator
How do spread, commission and financing work together?
Break-even after costs
Which price movement covers the assumed costs?
Slippage calculator
What Does a Price Deviation in Money Mean?
Drawdown and loss recovery
Why does a loss need greater percentage compensation?
Performance fees and high-water marks
What profits are actually compensated?
Portfolio risk and correlated positions
Why are several positions not automatically diversified?
Cost comparison with holding time
How do charges change over several days?
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