Tag Archives: data-mining bias
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.
This latest article in Yahoo! Finance is an example of how data-mining bias still drives Wall Street decisions.
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
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
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
The validity of any backtest results should not be assumed no matter how credible their source appears to be. There are many factors that can contribute to incorrect backtest results, especially in the case of more complex strategies, such as … Continue reading