Turning a Setup into Rules

Translating a discretionary setup into unambiguous entry, exit and sizing rules that code can execute and a backtest can measure.

What you will be able to do

Rewrite a discretionary setup as yes/no conditions computed only from past data.
Define stops, targets, time exits and position sizing as code.
Structure a strategy as a function that turns bars into signals.
Keep a versioned rule document in step with the code.

1
From chart idea to testable statement
Removing words like "strong" and "near" until every condition can be computed.
Coming next
2
Entry and exit rules
Signals, stops, targets and time exits written as explicit code.
Coming next
3
Position sizing as a rule
Fixed fractional risk, volatility-based sizing, and hard caps.
Coming next
4
A strategy as a function
Structuring rules as a signal function that a backtester — and the Lab — can call bar by bar.
Coming next
5
Versioning your rules
Keeping the rule document, the change log and the code saying the same thing.
Coming next