Problem
Problem
A futures rule can look fine in total and still depend on one or two years. The review has to show the result and the number of trades, year by year.
Case study
Gold futures backtest
Design
Design
Mark one gold-futures book to market by year, 2017 through 2024. Show two series together: net result and trade count.
Implementation
Implementation
Replay the historical book. Aggregate the net result by year. Count the trades in that year.
Benefit
Benefits
Profitable years and losing years are both on the scoreboard. A reviewer can see whether the result is spread across the sample or concentrated in a few years. The trading rule is not in this note.