The Backtest Autopsy #1: Why Your Entry Price IS the Edge
💡 TL;DR / Summary - Entry Price Edge Empirical Key Takeaways (BLUF) Entry Location Governs Edge: Keeping all other parameters frozen, shifting the limit entry order from the projected pivot to the zone center caused the expected value to crash from +0.875R to +0.046R—a 19x collapse. Selection Bias Paradox: Deeper entries (zone center) do not buy cheaper; instead, they fail to fill on winning trades that reverse shallowly, selectively filling only failed, structure-breaking losing trades. Empirical Verification: We quantified this structural phenomenon across a massive dataset of 11,149 actual reversals, establishing entry price as the dominant driver of systematic edge. I changed one thing in a backtest. Not the strategy logic. Not the stop-loss, not the take-profit, not the position sizing, not the exit rules. Everything most traders call “the strategy” stayed frozen. ...