backtest-design

name	backtest_design
description	How to design and read backtests honestly — lookahead/leakage traps, point-in-time discipline, multiple comparisons, CLV vs ROI, sample size.
triggers	["backtest","backtesting","lookahead","look-ahead","replay strategy"]

Backtest design — the ways backtests lie

A backtest is an argument, and most of them are flawed. Check these before quoting one.

Lookahead & point-in-time discipline

• The entry price must be one you could have GOT at prediction time. The platform's run_backtest enforces this (entry = prevailing change-point at predicted_at), so honest predicted_at timestamps are part of the experiment — backdating a prediction to grab an early price is fabricating edge.
• Features must be point-in-time too: no closing prices, no post-game stats, no season aggregates that include the predicted game.

Reading the report

• Lead with average CLV (quant_concepts): +CLV/−ROI = variance, the strategy is probably fine; −CLV/+ROI = luck, it probably isn't. ROI converges over hundreds of bets; CLV says something useful after dozens.
• Skips are findings: no_price = warehouse coverage gap; no_result = settle the events; below_edge = the threshold did its job. A backtest silently built on 10% of predictions is a different experiment than claimed.
• Sample size: under ~100 bets, confidence intervals on ROI span the whole conclusion. Quote the bet COUNT next to every headline number; call small samples anecdotes.

Multiple comparisons & survivorship

• Trying ten thresholds/feature-sets and reporting the best one is p-hacking: the winner's numbers are inflated by selection. Either pre-register one strategy or report ALL variants tried.
• Survivorship: backtesting only events that ended up with results/prices skews toward liquid, well-covered markets — say what fraction of the original universe the replay actually covered.

Iterating

• Change ONE thing per run (threshold, feature, model version) and keep the old report for the diff. The eval harness pins the golden replay; your experiments should be similarly reproducible — persist model versions, never overwrite.