FIRST GATE
Does an edge exist?
Before deeper analysis, establish whether the strategy shows a credible edge worth investigating.
Why BackTest Forensics exists
A recurring failure became a research question.
BackTest Forensics grew from a simple but frustrating problem: a trading system that appeared to work, then seemed to fail on a recurring cycle.
The spark
The backtest showed the losses. It did not explain them.
The founder had a strategy that repeatedly broke down roughly every several weeks. Traditional performance statistics could show the damage, but they did not explain why it kept happening.
The recurring failures were eventually traced to exposure around Federal Reserve FOMC meetings. That discovery changed the question from “Is this strategy profitable?” to “What conditions are actually responsible for its profits and losses?”
The question that changed the process
Origin of the labFrom backtest statistics
The strategy periodically failed.
↓
To forensic research
Was the strategy exposed to a recurring market condition the backtest itself was not explaining?
The research-lab idea
What else is happening around the trades?
That FOMC discovery became the foundation for a broader research process: attach market context to the strategy's trade history, test the relationships, challenge the explanation, and keep only what the evidence supports.
CONTEXT
What conditions surrounded the trades?
Regime, GEX, market structure, economic events, order flow, liquidity behavior and other relevant states.
FALSIFICATION
Does the explanation survive?
Challenge the relationship before turning a historical pattern into a strategy rule.
What we investigate today
Edge first. Specialized engines second.
BackTest Forensics begins with the Edge Diagnostic. If the evidence supports deeper research, the investigation can expand into Gamma Exposure, Volume Profile & Market Structure, Trend Quality & Regime, Order Flow & Spoof Detection, and Economic Events.
Each engine investigates a different part of the market environment surrounding your trades, helping identify what conditions were present when the strategy performed well, failed, or changed behavior.
The question we keep asking
Where did the money actually come from—and under what conditions did it disappear?
That question is the thread connecting the original FOMC investigation to every Intelligence Report produced today.