Diagnosing an Anomalous Spread Strategy Backtest Result
Summary
A trader asks about an unusually large backtest result for an index spread strategy on a day when the underlying market fell sharply. They report that the fills show no leg being left unpaired, so the source of the result is unclear. The discussion does not identify a cause or establish that a limit-down leg caused a calculation error.
The only diagnostic suggestion is to inspect the daily statistics data frame used by the backtest’s statistics calculation. The trader replies that the aggregate profit and loss is visible there but does not explain what produced it. The exchange therefore points toward examining daily records, but offers no further steps, code, or evidence. Readers should treat this as an unresolved troubleshooting question rather than a verified explanation of spread backtest accounting.
Key ideas
- The post concerns an unexpectedly large result in an index spread backtest.
- The author says recorded fills do not show an unpaired leg.
- A reply suggests inspecting the daily statistics data frame.
- The discussion does not determine the cause of the result.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.