Week 6 — Backtesting basics

Milestone

Build a simple backtesting engine for moving-average crossover and trend-following strategies.

Success criteria

Backtester runs a moving-average crossover on SPY and outputs Sharpe, CAGR, and max drawdown.

Deliverables

• [ ] Define strategy interface.
• [ ] Implement moving-average crossover strategy.
• [ ] Implement portfolio equity curve.
• [ ] Add fees/slippage assumptions.
• [ ] Calculate Sharpe, CAGR, max drawdown.

Books

• Quantitative Trading - Ernest P. Chan — Market intuition, systematic trading workflow, backtesting mindset.
• Schaum's Outline of Probability and Statistics — Exercises for probability, statistics, distributions, covariance, regression.

Retrospective

Fill this in during the Sunday review.

What did I finish?

What is blocked?

What confused me?

Key takeaway this week: