# 🏗️ Capstone: Build and Backtest Your Own Strategy

By Anh Le

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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


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## Contents

Part of [📊 Quantitative Trading for Beginners: Build and Backtest a Strategy](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy.md)

- **📈 Market Data and Return Statistics**
  - [🧭 What a Quant Strategy Actually Needs](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy/what-a-quant-strategy-needs.md)
  - [🗂️ Getting and Cleaning Price Data](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy/getting-and-cleaning-price-data.md) (sign-in required)
  - [📉 Returns, Volatility, and Time Series Basics](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy/returns-volatility-and-time-series-basics.md)
  - [✅ Checkpoint: Market Data and Statistics](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy/checkpoint-market-data-and-statistics.md)
- **🧪 Strategy Design and Backtesting**
  - [📝 From Idea to Testable Trading Rules](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy/from-idea-to-testable-trading-rules.md)
  - [🧮 Building the Backtest: Fills, Slippage, and Fees](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy/building-backtest-fills-slippage-and-fees.md)
  - [🔍 Reading Results and Avoiding Overfitting](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy/reading-results-and-avoiding-overfitting.md)
  - [✅ Checkpoint: Strategy Design and Backtesting](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy/checkpoint-strategy-design-and-backtesting.md)
- **🛡️ Risk Control and Capstone Build**
  - [⚖️ Position Sizing and Core Risk Metrics](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy/position-sizing-and-core-risk-metrics.md)
  - [🏗️ Capstone: Build and Backtest Your Own Strategy](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy/capstone-build-and-backtest-your-strategy.md) (premium content) — this lesson
  - [✅ Checkpoint: Risk and Capstone](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy/checkpoint-risk-and-capstone.md) (premium content)
- [Course cheatsheet](https://everwise.study/courses/quantitative-trading-for-beginners-build-and-backtest-a-strategy/cheatsheet.md) (premium content)