Why a profitable backtest can still fail live
Execution costs, data quality, selection bias, regime change and behavioural inconsistency can turn an attractive historical result into a fragile live system.
RBS PERSPECTIVES
Practical thinking for uncertain markets.
Our insight library focuses on the questions that frequently determine whether a strategy, research view or risk process survives outside the spreadsheet. Each topic is written to clarify the decision, not merely describe the market.
Understanding expiry-day volatility
Expiry sessions combine time decay, dealer positioning, liquidity shifts and rapid gamma changes. Context matters more than direction alone.
Risk controls before strategy selection
A robust process defines acceptable loss, exposure, escalation and recovery rules before choosing the instrument or trade structure.
When indicators disagree
Conflicting indicators often reveal that they are measuring different time horizons or market dimensions rather than proving one is wrong.
Why average results can mislead
Averages can conceal concentration, sequence risk and extreme outcomes. Distribution, consistency and worst-case behaviour deserve equal attention.
The hidden cost of over-optimisation
Every additional parameter can improve historical fit while reducing future reliability. Simpler rules often survive change more effectively.
Position sizing is part of the strategy
The same entry and exit logic can produce very different outcomes depending on capital allocation, correlation and loss-recovery assumptions.
Building a useful market dashboard
A good dashboard prioritises decisions, thresholds and exceptions. More data is not always more clarity.
How to use these insights
Use each topic as a review prompt for your own process. Ask which assumptions apply, what evidence is missing, how the conclusion changes across regimes and what operational rule would reduce the identified risk. Insights become valuable when they lead to a specific improvement in behaviour, measurement or control.