Inaccurate Backtest Results Are Common

Posted by Michael Harris on November 20, 2017

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 . . .

backtesting data-mining bias

Michael Harris

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Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated performance results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Hypothetical trading results are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.

Inaccurate Backtest Results Are Common

Michael Harris

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Inaccurate Backtest Results Are Common

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Michael Harris

How Trading Has Changed Over The Years

Using the Norgate Data Unadjusted Close Function

GPT Will Not Offer You a Trading or Investing Edge

Subscribe by email

Subscribe and receive a free book

CFTC RULE 4.41

Copyright Notice

Categories