We built a futures trading system with an overfitting lie-detector attached, then threw every popular trading idea at it — 1,900 real NASDAQ-futures sessions, honest train/test splits, no mercy. Six parts: what survived, what died, and why your backtest is probably lying to you.
The motivation, the rules we set before starting, and the process honestly told — including the adversarial review of our own code and the 90% kill rate. Start here.
PBO, deflated Sharpe, and combinatorial cross-validation explained for prop traders.
The volatility filter that passed every gate, and why it works.
Retest entries, volume confirmation, trend filters, tight stops — tested on 1,900 real sessions.
We swept every profit target. Higher win rates made less money. Here's the math.
Sizing can't help you pass an eval. It can transform a funded account. Monte Carlo proof.
Parameter stability heatmaps, regime-switching, and why your own research contaminates your backtest.
76% win rate, beautiful curve, $0 commission column, and 59% of trades filled inside a single candle. Anatomy of a strategy that sells better than it trades.
The whole program in six honest charts — equity, drawdowns, the win-rate trap visualized, the parameter-stability heatmap, and the out-of-sample proof.