Backtest Sanity
When to use
Use after strategy changes or data updates.
Inputs
- •Current backtest results
- •Baseline results (if available)
Steps
- •Compare returns, drawdown, volatility, and hit rate.
- •Validate transaction counts and turnover.
- •Check for lookahead or leakage artifacts.
- •Summarize deltas against baseline.
Outputs
- •Comparison table
- •Pass/fail assessment
Failure conditions
- •Significant degradation beyond tolerance
- •Evidence of leakage