The 30–60% Illusion: How Realistic Fills Expose Backtesting Lies

A large-scale backtest of put credit spreads exposes a critical flaw: standard simulators using mid-price fills overstate returns by 30–60%, while realistic market fills cost 4–7 cents per trade. The study further reveals that stop-loss discipline is the actual strategy, and that simple one-line signals outperform sophisticated composite models, indicating most traders are overfitting complexity rather than finding genuine edge.