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Line Your Own Pockets

Line Your Own Pockets

Dave Mabe and Michael Nauss

A weekly show for systematic traders who want to make more money from their trading strategies.

117 - Is Your Backtest Too Good to be True? Here's How To Tell
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  • 117 - Is Your Backtest Too Good to be True? Here's How To Tell

    In this week's episode of Line Your Own Pockets, we tackle one of the most important issues for systematic traders: is your backtest too good to be true?

    The best time to discover your backtest is unrealistic is as early as possible, even if it ruins your day (I've been there SO many times!).

    We discuss:

    Make your default stance skepticism rather than excitementUnderstanding future leak - probably the most common way backtests fall apart in liveBeware entry/stop/exits happening in the same bar (and how you can deal with this)How to identify unrealistic outlying trades quicklyYour reconciliation process with your backtest is your ultimate backstop for ANY issue

    And much more...

    Whether you're a seasoned veteran or a systematic trading newbie, you'll want to listen.

    SHOW NOTES:
    Sir Isaac Newton's terrible trading record


    ---

    Before you go!

    The next time you find yourself in a drawdown, I want you to stop what you're doing and head on over to betterbacktesting.com to sign up for my free backtesting email course.

    I hope to see you there!

    Mon, 02 Nov 2026
  • 116 - Advanced Metrics and Optimizing

    In this week's episode of Line Your Own Pockets, we continue our discussion of metrics for optimizing strategies.

    What you choose to optimize when you're creating a strategy can make a big difference in your results.

    The obvious choice is Total Profit, but the optimal path that comes with that could be jagged and painful.

    Here are some of the topics we touched on:

    Optimize for your confidence, not just maximum profitTry creating two different versions of a strategy, each optimized toward different outcomesThe path a trade takes matters - not just its final P&LSmooth equity curves are easier to scale - here's whyDon't solve hypothetical problems too early

    And much more...

    SHOW NOTES:
    Previous episode: https://lineyourownpockets.com/episodes/what-metrics-should-you-optimize-for
    Efficiency function Dave mentions:

    Loss from mfe = mfe - profit Gain from Mae = profit - mae Inefficiency = (loss from mfe + gain from mae) Efficiency = -inefficiency And then a new objective function could be: Profit / inefficiency

    ---

    Before you go!

    The next time you find yourself in a drawdown, I want you to stop what you're doing and head on over to betterbacktesting.com to sign up for my free backtesting email course.

    I hope to see you there!

    Mon, 26 Oct 2026
  • 115 - What Metrics Should You Optimize For?

    In this week's episode of Line Your Own Pockets, we discuss which metrics to use to evaluate trading strategies.

    There's no shortage of these - just look at the default report in an Amibroker backtest - there are dozens!

    Topics covered:

    Why it makes no sense to optimize on just one metricIf you had to choose one "metric," make it the equity curve.There is no perfect set of metrics, just like there's no perfect trading strategyWhich metric gets our vote as the most overrated (hint: it's not win rate)Optimize for an easier trading life rather than maximum return

    And much more...

    There's something for everyone in this one.


    ---

    Before you go!

    The next time you find yourself in a drawdown, I want you to stop what you're doing and head on over to betterbacktesting.com to sign up for my free backtesting email course.

    I hope to see you there!

    Mon, 19 Oct 2026
  • 114 - Should You Optimize Longs and Shorts Separately?

    In this week's episode of Line Your Own Pockets, we answer a multi-part question from long-time list member Chip D.S. (name used with permission).

    The first part of his excellent question:

    Do you typically optimize longs and shorts separately. assuming there are enough trades after the split.  You have a couple newsletter articles that mention "directional" columns...so there must be situations where you think optimizing them together is best?

    We discuss:

    Why optimizing separately is a good default, but not a set-in-stone ruleLook for commonalities when optimizing the long versus the short trade setsHow "directional" columns are useful when combining long and short trade setsWhen going live with an Amibroker strategy, how to strip down the code to make it run fast

    And much more...


    ---

    Before you go!

    The next time you find yourself in a drawdown, I want you to stop what you're doing and head on over to betterbacktesting.com to sign up for my free backtesting email course.

    I hope to see you there!

    Mon, 12 Oct 2026
  • 113 - Interview with Steve Bravo from Massive (Polygon)

    We interview Steve Bravo from Massive (formerly known as Polygon.io).

    I passed along several questions from MabeKit Mastermind members, who brought up some good ones.

    We discuss:

    Why there are so many data providers and what makes Massive uniqueWhy the name change? (They changed from Polygon to Massive several months ago)How AI has changed the data business - dramaticallyDiscrepancies between data vendors and what causes themWhat's coming next from Massive? (L2, fundamentals, etc)

    And much more...

    Thanks to Steve for joining us!


    ---

    Before you go!

    The next time you find yourself in a drawdown, I want you to stop what you're doing and head on over to betterbacktesting.com to sign up for my free backtesting email course.

    I hope to see you there!

    Mon, 05 Oct 2026
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