The Numbers Lie Our paper trading system ran for a month, and the numbers looked beautiful on a spreadsheet: 87.5% win rate, 7 wins, 1 loss, 2 breaks even When most people see those numbers, their reaction is: “Awesome! Time to trade real money!” Our reaction was: “Hold on. Let the math speak first.” What is Z-Score? At its core, Z-score is asking one simple question: How much better are you than just flipping a coin? ...
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.