01 · RECONSTRUCT
Rebuild the trade path.
Maximum Adverse Excursion (MAE), Maximum Favorable Excursion (MFE), time underwater, time to MAE/MFE, recovery, giveback, duration and realized outcome.
Trading strategy forensics
Your backtest shows what happened.
BackTest Forensics investigates why.
We reconstruct what happened inside each trade—how much heat it took, how long it stayed underwater, when opportunity appeared, how much was given back, and which market conditions were present when that behavior repeated.
No strategy source code required. Historical strategy research, not trading signals.
ReconstructWhat happened inside each trade
CompareWhat changed across conditions
ChallengeWhat else could explain it
ValidateWhat survives outside discovery
Not another optimizer
We don't begin by searching for the parameter that makes the old curve look best.
Optimization can tell you that a tighter stop, a new filter, or a different threshold improved historical results. BackTest Forensics first asks what kind of trades that change removes, what winners it damages, and whether the apparent failure condition actually explains the behavior.
02 · ATTACH CONTEXT
Find what changes with that path.
Direction, session, volatility, trend, macro context, market structure and other supported historical states.
03 · TEST THE EXPLANATION
Try to disprove the story.
Use matched comparisons, chronology, holdouts and out-of-sample evidence before turning a historical pattern into a strategy change.
That is the difference between measuring a backtest and investigating one.
Maximum Adverse Excursion (MAE) beyond the number
How long was the trade wrong—and what happened next?
A conventional report may show Maximum Adverse Excursion (MAE): the largest move against the position while the trade was open. We go further: time underwater, time to maximum heat, whether the trade recovered, whether MAE occurred before or after Maximum Favorable Excursion (MFE), and whether the same adverse path clusters under particular market conditions.
Time UnderwaterHow long did the position remain below entry or its prior favorable state?
Time to Maximum Adverse Excursion (MAE)Did maximum heat arrive immediately after entry or much later?
Recovery After Maximum Adverse Excursion (MAE)How often did deeply adverse trades recover, and how long did recovery take?
MAE → MFE SequenceDid the trade suffer first and recover, or move favorably first and then fail?
Maximum Favorable Excursion (MFE) beyond the high-water mark
How much opportunity did the strategy actually capture?
Maximum Favorable Excursion (MFE) is the largest move in the trade's favor while it is open. Two trades can both finish +$80 and still tell completely different stories. If one reached +$110 MFE and the other reached +$500 before exiting, the realized result is the same—but the exit behavior is not.
Capture EfficiencyHow much of available favorable excursion became realized profit?
Time to Maximum Favorable Excursion (MFE)How quickly did the opportunity appear?
Post-MFE GivebackHow much open profit disappeared before exit?
Exit-State DependencyDoes capture efficiency deteriorate in specific regimes or sessions?
A real SATS example
The useful finding was not simply “longs lost money.”
In one SATS study, losing long trades averaged about 107 points of Maximum Adverse Excursion (MAE) against only about 54 points of Maximum Favorable Excursion (MFE). In plain English, the losing longs moved almost twice as far against the position as they ever moved in its favor. That pointed to a much narrower failure pattern: substantial adverse movement for relatively little favorable opportunity.
Did maximum heat arrive immediately after entry?
How long did the losing longs remain underwater?
Which trades recovered after deep Maximum Adverse Excursion (MAE)?
Would a tighter stop also remove rare large winners?
Did the weak path cluster in one market state?
Did aligned and conflict trades behave differently?
An optimizer might ask: “Which stop improves the equity curve?”
Forensics asks: “What was different about the trades that immediately went underwater, and can we isolate that condition without destroying the winners we want to preserve?”
Forensics asks: “What was different about the trades that immediately went underwater, and can we isolate that condition without destroying the winners we want to preserve?”
Questions worth investigating
Ask your backtest something more useful.
Why do my shorts underperform my longs?
Are my stops eliminating trades that later recover?
How much time do winners spend underwater before working?
Does Maximum Adverse Excursion (MAE) occur before Maximum Favorable Excursion (MFE), or after it?
How much Maximum Favorable Excursion (MFE) do my exits routinely give back?
Which conditions contribute most to drawdown?
Did the market regime change when performance deteriorated?
Does this finding survive outside the discovery period?
Your strategy stays yours
Bring us the evidence. Keep the recipe.
BackTest Forensics is designed to investigate strategy outputs without requiring your proprietary source code. Submit only the information needed for the research question.
No source code required
Trade history can answer many questions about path behavior, timing, excursions, recovery and failure concentration.
Share only what you choose
Additional variables can deepen an investigation, but formulas and implementation logic do not need to be disclosed by default.
Research, not signals
The product investigates historical strategy behavior. It does not promise future performance or tell you what to trade today.
Founding retail access
Give us the backtest you cannot explain.
Request access with a difficult research question. We will use this first retail release to validate the workflow and processing economics before publishing final consumer pricing.
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Market-state intelligence and strategy research infrastructure.
Market-state intelligence and strategy research infrastructure.