Markets / Trading
Frame a strategy backtest
Editor's note
Defines the rules, universe and metrics of a systematic strategy backtest.
Prompt
Act as a quant. Help me frame the backtest of a trading strategy. Have me specify the asset universe, the period, the entry and exit rules, position sizing and costs. Then propose the performance and risk metrics to compute (annualized return, volatility, Sharpe ratio, maximum drawdown) and warn me about common biases (survivorship, look ahead, overfitting).
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