Welcome back! In Episode 2, Michael Nauss CMT and Dave Mabe dive deeper into one of the most overlooked but vital parts of systematic trading: your column library.
Watch more at https://lineyourownpockets.com/
🔍 Key Takeaways:
Your first backtest shouldn’t be final — it’s a data collection tool.
Building a strong set of columns lets you filter the noise and identify what truly makes a trade work.
Normalize everything. ATR, price range, relative volume — it must apply across tickers and timeframes.
Start with “foundational” columns (ATR, distance from MA, position in range).
Add “signal-specific” ones to deepen your understanding of what drives results.
Don’t fear data that disproves your assumptions — lean into it. That’s where growth happens.
And yes… include a random column to spot overfitting.
📈 Chart Ideas for Social/Visual Assets:
“Bad vs Good” example of unnormalized vs normalized data columns
Trade entry filtered by ArVol with a bar chart of PnL
Diagram: Strategy ➜ Raw Backtest ➜ Add Columns ➜ Filtered Trade Set
🎓 This isn’t just about trading more — it’s about trading smarter, with fewer blind spots.