Walk-Forward Backtest
A strategy that only works frictionless isn't a strategy. Watch the costs eat in.
Cost drag (with vs without)
−$280
CAGR (with costs)
-7.2%
Max drawdown
15.4%
Sharpe
-1.44
Win rate
43.5%
Equity — with vs without costs
Monte-Carlo fan (outcome distribution)
Metrics — with vs without costs
| metric | with | without |
|---|---|---|
| CAGR | -7.2% | -7.1% |
| max drawdown | 15.4% | 15.1% |
| Sharpe | -1.44 | -1.41 |
| Sortino | -1.40 | -1.38 |
| win rate | 43.5% | 43.5% |
| profit factor | 0.28 | 0.29 |