When building my first quant trading system, I stepped into three traps.
Trap one: Overfitting
The backtest looked ridiculously good, but the moment I went live, everything fell apart.
Reason: I tuned the parameters too closely to historical data.
Trap two: Ignoring trading fees
In the backtest, I made 50 bucks per trade, but in live trading, after fees I was left with only 15.
That cut my returns by 70%.
Trap three: No stop-loss logic
“Quant systems won’t do anything crazy.”
Until one market move wiped out 20% in a single go—I finally realized quant systems can still blow up.
The SYS series was built little by little only after I’d stepped into these three traps.
Without traps, there wouldn’t be a system.
#TradingView #量化交易 #CryptoTrading
$BTC $XAUT $HYPE
Trap one: Overfitting
The backtest looked ridiculously good, but the moment I went live, everything fell apart.
Reason: I tuned the parameters too closely to historical data.
Trap two: Ignoring trading fees
In the backtest, I made 50 bucks per trade, but in live trading, after fees I was left with only 15.
That cut my returns by 70%.
Trap three: No stop-loss logic
“Quant systems won’t do anything crazy.”
Until one market move wiped out 20% in a single go—I finally realized quant systems can still blow up.
The SYS series was built little by little only after I’d stepped into these three traps.
Without traps, there wouldn’t be a system.
#TradingView #量化交易 #CryptoTrading
$BTC $XAUT $HYPE