Fix the event order first
A strategy cannot trade on an observation before it is available. If a signal uses a bar's closing price, the educational workbench permits it to trade only at the following bar's open. A favourable outcome in the same bar is unavailable to that decision.
Track an account, not just a curve
Record cash, shares, execution prices, commissions and marked equity. A purchase exchanges cash for an asset; it does not create profit. A sale releases proceeds; realised PnL depends on the position's basis and costs. Check simple cases by hand before interpreting a complex strategy.
The workbench includes adverse slippage on each order, fees on executed notional and final liquidation costs. Its trade ledger lets a reader reconstruct what happened. It does not simulate queue position, depth consumption, funding or short-borrow availability.
Use the right execution model
A midpoint-return experiment cannot establish an achievable market-making spread. A bar-based account simulator cannot prove that a limit order would have filled. Historical exchange replay may also miss how your own orders would change the market.
Match the simulator to the question. Use the workbench for inspectable research baselines, an edition-compatible exchange simulator for competition submissions, and Tomorrow Markets for interactive practice and observed mechanics.
Compare on the same window
Strategies should share the same evaluation interval, starting capital, data treatment and cost assumptions. Include a simple benchmark, examine turnover and drawdowns, and repeat the comparison under less favourable costs. Avoid selecting the best parameter by repeatedly checking an alleged final test set.
Minimum accounting checks
- With no orders and zero cash interest, equity stays constant.
- A flat-price round trip loses its execution costs.
- A short position loses when its marked price rises.
- Changing observations in the future cannot change earlier features or decisions.
- A final open position is either valued explicitly or closed with the appropriate costs.
The workbench's tests cover these cases. See installation and execution.