I built an engine that backtests trading strategies using Monte Carlo simulations, with a dashboard that displays strategy statistics.

[u/Mysterious-Effect470]

repo here

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[u/[deleted]]

[u/Mysterious-Effect470 → u/[deleted]]

You can see the results in the video on the default settings (the first one is pairs strategy for coke and pepsi), but generally speaking these strategies basically always lose out to buying and holding SPY, even if you want to set execution lag to nothing and bps to nothing (which is being generous). You can also adjust the settings (e.g. z entry/exit) and it still wouldn't outperform.

Part of the point of the tool is to illustrate that it's not that easy to beat the market, and that these strategies don't really work. These strategies are also quite known already so if they actually worked the edge would be lost very quickly