How to Compare Two Strategies Fairly

The five conditions

What makes a comparison of two rules fair comes to five conditions. The same bars: one symbol, one timeframe, one start and end, so both rules ran on one tape. The same costs: the same spread and slippage taken off every trade of each. Per-trade numbers rather than totals, because a total rewards the rule that simply trades more. The wobble: the gap between the two averages read against the wobble of each, which is the spread of a trade over the square root of the count. And both rules written down before the bars were seen, or the comparison is a snoop. The example is two hour-pairs on the euro over the same 135 days of 2026: 1.1 pips a trade against 2.2, where a pip is the fourth decimal place of the price, and a gap smaller than the wobble.

Two lanes of one track

Picture a running track with two lanes. Both runners start at the same line and finish at the same line, which is the same bars; both clear the same hurdles, which are the costs; and the dashed line round the outside is the wobble, the margin within which two times are the same time. Two runners timed on different days, on different tracks, over different distances have not raced, and their times cannot be read against each other, however precisely each was clocked. Most strategy comparisons are exactly that, and the five conditions are what turns them into a race.

This paper is locked