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The Mirage of PTC: When a Beautiful Backtest Hides a Broken Strategy

A story about a strategy that looked perfect — until reality tested it.

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Act I: Love at First Backtest

Every quant knows the feeling. You run the numbers, the equity curve climbs, and for a moment, you believe you’ve found something real.

import pandas as pd
import numpy as np
import yfinance as yf
import vectorbt as vbt

# -------------------------
# Download Data
# -------------------------

symbol = "PTC"
start_date = "1960-01-01"
end_date = "2030-01-01"
interval = "1d"

df = yf.download(symbol, start=start_date, end=end_date, interval=interval, multi_level_index=False)
df.reset_index().to_csv("PTC_clean.csv", index=False)

# -------------------------
# Necessary Parameters
# -------------------------

ER_LEVEL_HIGH = 0.7
ER_PERIOD = 14
SMA_PERIOD = 20


# -------------------------
# Indicator Functions
# -------------------------

def close_cross_below_sma(df, period=SMA_PERIOD):
    """
    Close price crosses below the SMA
    """
    df = calculate_sma(df, period)
    return (df['Close'] < df['SMA']) & (df['Close'].shift(1) >= df['SMA'].shift(1))


def calculate_sma(df, period=SMA_PERIOD):
    """
    Calculate Simple Moving Average (SMA) of the Close price.
    """
    df = df.copy()
    df['SMA'] =…