There are some tricks people employ to create impressive backtests results beyond optimizing and over-fitting. There is a simple test for backtests in the equities markets to determine whether impressive results are due to an overfit. Strategies that show large alpha in backtests probably employ some tricks. Access to article requires Premium Insights subscription . . .
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CFTC RULE 4.41
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.
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