Tag Archives: data-mining bias

Inaccurate Backtest Results Are Common

The financial blogosphere is flooded with inaccurate backtests of trading strategies and portfolio allocations. The empirical rule is to never trust any backtests unless verified by expert consensus.

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Data-Mining Bias Still Drives Wall Street Decisions

This latest article in Yahoo! Finance is an example of how data-mining bias still drives Wall Street decisions.

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Market Overanalysis Is Detrimental To Success

The more discretionary and quant traders try to analyze market price action, the higher the chances of failure. This may sound counter-intuitive because it contradicts the common belief that the more one tries to achieve a goal, the higher the … Continue reading

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Momentum, Randomness And Survivorship Bias [Premium Articles]

It is entirely possible that any outperformance of momentum strategies is due to survivorship bias. I present two examples of simple market anomalies that suddenly disappeared without warning and I claim that this will be the fate of momentum too. … Continue reading

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Backtesting Conundrum

About a week ago I ran into a backtesting conundrum while analyzing a simple relative strength ETF rotation strategy.  A call to quants to compare results received only one answer but the cooperation led to a solution and to a … Continue reading

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