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Trader sistemático

Analistas que querem escrever regras explícitas, testá-las com honestidade e dimensionar posições em função do risco declarado.

Especifique uma regra, teste-a com custos e verificações de viés, dimensione-a pelo risco e avalie os resultados face ao ruído.

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What a backtest can prove, and what it can't

A backtest shows how a precisely defined rule would have behaved on past data under stated assumptions. It cannot show the rule will behave that way again.

Na aplicação: Testes quantitativos (em desenvolvimento)

Bases

  1. 1

    Discretionary vs rules-based research

    Sets the difference between judgement calls and written rules.

    • Iniciante
    • Explicação
    • 3 min
    • Em breve
  2. 2

    From idea to tested rule

    Shows the path from an idea to something testable.

    • Iniciante
    • Explicação
    • 3 min
    • Em breve
  3. 3

    Anatomy of a rule: entry, exit, size, filter

    Names the parts every rule needs.

    • Iniciante
    • Guia visual
    • 3 min
    • Em breve
  4. 4

    Your first visual strategy graph

    First hands-on graph that later steps build on.

    • Iniciante
    • Receita de investigação
    • 5 min
    • Em breve
  5. 5

    The one-page strategy spec

    One-page spec to fill before any test.

    • Iniciante
    • Ficha de consulta rápida
    • 2 min
    • Em breve
  6. 6

    RSI playbook: momentum on a 0–100 scale

    Indicator used by the mean-reversion experiment later.

    • Iniciante
    • Manual de indicadores
    • 4 min
    • Em breve
  7. 7

    ATR playbook: volatility as distance

    ATR is needed for volatility-based sizing.

    • Iniciante
    • Manual de indicadores
    • 4 min
    • Em breve
  8. 8

    Slippage: the gap between plan and fill

    Slippage is the cost every backtest must model.

    • Iniciante
    • Explicação
    • 3 min
    • Em breve
  9. 9

    What a backtest can prove, and what it can't

    Limits of what a backtest can show.

    • Iniciante
    • Explicação
    • 3 min
  10. 10

    Your first backtest, step by step

    First complete backtest run.

    • Iniciante
    • Receita de investigação
    • 5 min
    • Em breve
  11. 11

    Reading a backtest report: metrics that matter

    How to read the report before trusting it.

    • Iniciante
    • Guia visual
    • 3 min
    • Em breve
  12. 12

    Costs, spreads and slippage in a backtest

    Adds costs, spreads and slippage to tests.

    • Iniciante
    • Explicação
    • 3 min
    • Em breve
  13. 13

    Backtest sanity checklist

    Checklist to run on every result.

    • Iniciante
    • Ficha de consulta rápida
    • 2 min
    • Em breve
  14. 14

    Position sizing in four steps

    Position sizing from a stated risk amount.

    • Iniciante
    • Guia visual
    • 3 min
    • Em breve
  15. 15

    What a stop-loss does, and what it doesn't

    What stops can and cannot do.

    • Iniciante
    • Explicação
    • 3 min
    • Em breve

Essencial

  1. 16

    Mean-reversion rule families

    A rule family to test with the tools learned.

    • Intermédio
    • Explicação
    • 5 min
    • Em breve
  2. 17

    Recipe: an RSI mean-reversion experiment

    Runs a full experiment on that family.

    • Intermédio
    • Receita de investigação
    • 5 min
    • Em breve
  3. 18

    Exits deserve as much design as entries

    Exits designed as carefully as entries.

    • Intermédio
    • Guia visual
    • 3 min
    • Em breve
  4. 19

    Position sizing inside a strategy

    Sizing built into the rule itself.

    • Intermédio
    • Explicação
    • 5 min
    • Em breve
  5. 20

    Volatility-based position sizing

    Sizing that adapts to volatility.

    • Intermédio
    • Explicação
    • 5 min
    • Em breve
  6. 21

    Look-ahead bias: the backtest that read tomorrow

    The most common hidden error: look-ahead.

    • Intermédio
    • Explicação
    • 5 min
    • Em breve
  7. 22

    Survivorship bias: the symbols that vanished

    Missing symbols that flatter results.

    • Intermédio
    • Explicação
    • 5 min
    • Em breve
  8. 23

    Overfitting in one picture

    How tuning fits noise.

    • Intermédio
    • Guia visual
    • 3 min
    • Em breve
  9. 24

    In-sample vs out-of-sample

    Separating data used to build from data used to judge.

    • Intermédio
    • Guia visual
    • 3 min
    • Em breve
  10. 25

    Parameter sensitivity: plateaus vs peaks

    Plateaus versus fragile peaks in settings.

    • Intermédio
    • Guia visual
    • 3 min
    • Em breve
  11. 26

    Overfitting simulator: the best of N random rules

    Interactive: see the best of many random rules.

    • Intermédio
    • Ferramenta interativa
    • 3 min
    • Em breve
  12. 27

    Backtest bias quiz: spot the flaw

    Quiz to practise spotting backtest flaws.

    • Intermédio
    • Questionário ou desafio
    • 3 min
    • Em breve

Avançado

  1. 28

    Walk-forward analysis: testing as time passes

    Testing as time passes.

    • Intermédio
    • Explicação
    • 5 min
    • Em breve
  2. 29

    Reproducible research: logs, versions, seeds

    Logs and seeds so results can be repeated.

    • Avançado
    • Explicação
    • 6 min
    • Em breve
  3. 30
    Síntese final

    Backtest autopsy: five ways a great result was wrong

    Capstone case: diagnose a great-looking result.

    • Intermédio
    • Estudo de caso
    • 6 min
    • Em breve
Leitura opcional: 9
  • Volatility targeting and exposure scaling
  • Rule playground: wire a rule, see the signals
  • Find the missing piece: rule-spec challenge
  • Reading a Monte Carlo fan
  • Monte Carlo drawdown simulator
  • Turnover budgets and cost-aware design
  • What walk-forward efficiency does and doesn't say
  • Risk budgets and daily limits
  • Why we won't ship an autopilot

Na aplicação

As funcionalidades do Analess mais utilizadas nestas lições. A disponibilidade é indicada na página de cada funcionalidade.