A Developer Roadmap for the First 30 Days of Backtesting

Abstract

The first month of trading research should not be a race to find the best strategy. It should be a race to build a backtesting loop that is hard to fool. Developers who do that early save months of false confidence later.

Here is a practical 30-day roadmap.

Days 1-7: Build The Replay Spine

Pick one strategy idea and one small symbol set. Implement data loading, signal timestamps, next-bar entry, contract discovery, quote lookup, and selected-trade logging. Do not optimize yet.

The output should be a small number of trades and a clear decision trail.

Days 8-14: Add Rejects and Tests

Add spread limits, quote age limits, DTE validation, missing-data rejects, and regression tests for entry timing. Verify that a completed bar cannot create a same-bar fill unless a standing order is explicitly modeled.

This week usually makes results worse. That is progress.

Days 15-21: Run Families, Not Magic Numbers

Sweep a small parameter family. Compare not only return, but trade count, active days, drawdown, reject reasons, and concentration. Keep no-go summaries.

The goal is to understand the shape of the family, not to crown the first winner.

Days 22-30: Add Robustness and Paper Readiness

Run walk-forward checks, PBO/DSR diagnostics, and portfolio contribution tests. If a candidate survives, freeze it into a launch contract and dry-run the paper path.

Takeaway

The best first month creates a research system, not a victory post. Build causal replay, quote-aware fills, artifacts, and promotion gates. The good strategies can wait for an honest simulator.