87% annualized returns in backtesting? Congrats, but live trading is a completely different world. This article documents our quant system’s first month of real trading and the things backtests will never tell you.
An Unexpected Discovery While analyzing 30+ live trades from our trading system, I stumbled upon a phenomenon rarely discussed in textbooks: there’s a strong inverse relationship between holding time and win rate. Holding Time Trades Win Rate Avg PnL/Trade 0-2 hours 20 65% +$1.56 2-6 hours 5 20% -$3.68 6-12 hours 2 50% -$1.23 12-24 hours 7 14.3% +$0.47 You read that right: trades closed within 2 hours have a 65% win rate, but those exceeding 2 hours plummet to 20%. ...