5 Backtesting Mistakes That Make Your Algo Look Like a Money Printer

A 16-year-old just posted a forex algo on Reddit with a Sharpe ratio of 7.78 over 25 years. Zero losing years. 98% profitable months. The comments were exactly what you'd expect: "what are you smoking?" and "show me the live results." Here's the thing — the kid probably didn't do anything dishonest. These numbers show up constantly in backtests. They just don't survive first contact with live markets. After building TradeSight (an open-source strategy tournament system that evolves trading strategies overnight), I've watched hundreds of backtests go from god-tier to mediocre the moment you stress-test them properly. Here are the five mistakes that keep producing lottery-ticket backtests. 1. OHLC Bar Resolution Lies About Fill Order The mistake : Using M15 (or any timeframe) OHLC bars and assuming your limit order got filled at the price you wanted, in the order you wanted. Why it kills you : A 15-minute bar tells you four numbers: open, high, low, close. It does not tell you whether pr