We developed a mean reversion strategy. Backtesting showed 3 out of 8 combinations hitting 100% win rate. Then we ran Out-of-Sample validation, and 100% crashed to 25%. Here’s what happened.
Why single-strategy systems are doomed to fail, how our four-strategy system auto-switches based on market regime, and why WFO validation is the quality gate you can’t skip.
We spent two weeks building a complete quantitative trading system from scratch — four strategies, eight Walk-Forward validations, Z-score statistical tests, Paper Trading. This article documents the entire process, including the biggest pitfalls we encountered.