Published 2026-10-14
Backtest window
The backtest window is the period a strategy is tested over. It is the single most consequential choice in a backtest — and the one most often left unstated.
What it is
The backtest window is the period a strategy is tested over, such as 2015–2025.
Why the choice matters more than the strategy
The same rule tested over different windows produces different results — sometimes opposite ones.
| Window | What it tends to show |
|---|---|
| A bull market | Almost everything looks good |
| A crash | Almost everything looks bad |
| Multiple regimes | What the rule actually does across conditions |
A result over a single regime is a conditional result. The condition is the window, and it should be stated with the number.
How to check
Ask two things: which window, and why that one?
A window chosen after seeing the result is not a test. It is a selection, and it belongs in the same category as backtest overfitting.