u/Kindly_Preference_54 ·
Reddit — r/algotrading
· May 11, 2026 at 12:31
· ⬆ 16 pts
· 💬 34 comments
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AI Summary
Summary
The author outlines a rigorous set of 12 research tests used to validate every asset they trade, focusing on a regime-adaptive mean-reversion strategy.
The post is purely methodological, describing backtesting, stress tests, Monte Carlo simulation, and trade analysis techniques.
Quality assessment: Well-structured quantitative research framework (DD), but no specific trade or asset is presented.
Score16
Comments34
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▶ Full Post Text
Hey everyone,
Lately, I have settled on this set of tests that I perform when researching every asset I trade. For about a year now I have been performing 1-6, and recently added 7-12.
I chose the ones that best fit my type of strategy: quantitative regime-adaptive mean-reversion with dynamic exit logic.
1. Optimization on last 3 months.
2. Out-of-sample - preceding 9 months.
3. Out-of-sample - full year preceding the 9 months.
4. Stress tests - several 3 months periods.
5. Long stress test - 2020-2026.
6. Parameter variation stability test.
7. Monte Carlo.
8. Loss clustering stress test.
9. Volatility regime stress test.
10. Correlation stress test.
11. Maximum adverse excursion (MAE) Analysis.
12. Trade Duration Analysis.
What do you all think?