Capstone: Build and Backtest Your Own Strategy
In the last lesson you learned to size each position inside a risk budget, using metrics like volatility and max drawdown to decide how much capital a single trade deserves. Now everything comes together: your rules, your data, your backtest, your risk check, and one short write-up that tells the truth about what happened.
This is the lesson where you stop reading and start building. Budget about 40 minutes for the first full pass. You can refine it afterwards.
Note: The goal of this capstone is not to find a winning strategy. It is to produce an honest, reproducible measurement of one strategy. A small, clean loss you fully understand is worth more than a beautiful equity curve you cannot explain.
What you are actually delivering
Five artifacts, all small, all yours:
| Artifact | What it looks like |
|---|---|
| Rules document | Half a page of plain English: entry, exit, position size, universe, timeframe |
| Data | One cleaned price series (or a small panel) with source and date range written down |
| Backtest script | One file that loads the data, applies the rules, charges costs, and prints results |
| Results | Equity curve, trade log, drawdown, benchmark comparison, out-of-sample numbers |
| Write-up | 300 to 500 words, including the parts that did not work |
The spec your project has to meet
In this lesson
- Practice: turn your idea into a testable rule
- The order of work
- Practice: set your split before you look
- How you know you are done
- Practice: estimate your cost drag
About this course
Part of Quantitative Trading for Beginners: Build and Backtest a Strategy — A fast, hands-on beginner path into quantitative trading that follows one thread: take a simple trading idea from raw market data to a cleaned dataset, a coded backtest with realistic costs, and a risk check. Built for learners with basic Python who want a working strategy rather than a theory survey.
- Level
- Beginner
- Language
- English
- Focus
- strategy design and backtesting statistics and time series market microstructure and data risk and portfolio management
- Practice
- Capstone project
- Time
- ~4.6h
- Voice
- A patient tutor walking an absolute beginner through each step
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