The first real issue. Thanks for being early.
Welcome to the first issue of Walk Forward.
The name comes from the strictest test in systematic trading. A walk-forward test takes a strategy that looked good on the data it was built with and marches it through data it has never seen, one step at a time. It’s the closest a simulation gets to the truth, and it’s where most good-looking ideas quietly fall apart. That’s the spirit of this letter: the moment the idea meets data it didn’t get to study for.
Why publish failures?
First, because failure is most of the work. Strategy research is a funnel: many ideas go in, a few survive testing, and fewer still earn a place in our own trading. Any publication that only shows you the bottom of the funnel is showing you almost none of the work, which is how this genre earned its reputation.
Second, because the failures carry the lessons. A strategy that dies in testing tells you something true about markets, or about your process, or about yourself. The autopsy usually teaches more than the eulogy.
Third, because publishing failures keeps us honest. It’s hard to hype an idea one week when you’ve promised to autopsy it in public the week after. The commitment does the discipline for us.
What you’ll get each week
- The setup. One idea, in plain English, and why it might make sense.
- The test. What the data actually said, warts included: costs in, drawdowns visible, no flattering windows.
- The verdict. Keep, kill, or rework, and the reasoning either way.
What you’ll never get
No picks. No “act now.” No numbers that promise you anything about your own results. No pretending simulations are track records. And no advice about your money: every issue goes to every reader, we don’t know your situation, and we won’t pretend to. This is an educational publication, full stop.
The standing disclosure, which will appear in every issue: we trade our own capital using the same strategies we discuss. That’s the point of the letter, and it also means we’re not neutral observers of the things we cover. When we write about a specific, named instrument our systems hold, the write-up will say so.
Next week, the first test write-up goes out and the funnel starts doing its work in public. See you then.
— the team at Ferrante Capital