🎙️ Line Your Own Pockets Ep. 2: Building a Column Library to Supercharge Your Backtests

StatsEdgeTrading

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.