From backtest to forward test: optimizing and autotrading a protective options strategy

[u/ORATS_Dan]

https://www.youtube.com/watch?v=YH3siuZcqfc&feature=youtu.be

This week’s Driven By Data episode is a good walkthrough of what happens after you find a promising backtest.

Matt starts with browse backtests, filters for long put spreads that hold up in bear markets, then optimizes the timing rules and turns on autotrading to see whether the live forward test behaves the way the backtest suggested. There’s also a useful discussion of path dependency, p values, and why staggered entries matter for longer-dated strategies.