Building
ORB Backtest Framework
Reusable backtesting template with transaction costs, position sizing, and performance diagnostics.
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Planned
Monte Carlo Portfolio Simulator
Simulates thousands of portfolio paths to estimate drawdown probability, terminal wealth ranges, and risk-of-ruin under different allocation rules.
EMA Strategy Across Volatility Regimes
Tests whether simple momentum indicators behave differently across low-volatility and high-volatility environments.
Planned build guidelines
- Define baseline return/volatility assumptions and correlation structure first.
- Run multiple horizon scenarios with fixed contribution and rebalance schedules.
- Track percentile outcomes, max drawdown distributions, and expected recovery time.
- Stress assumptions under adverse volatility/sequence-of-returns shocks.
- Summarize allocation guardrails and risk limits for practical decisions.
- Define volatility regime segmentation first.
- Fix identical entry/exit rules across regimes.
- Compare returns, drawdowns, and trade frequency by regime.
- Include cost assumptions and turnover diagnostics.
- Conclude where the strategy is usable vs unreliable.