Ep. 941: Trend Following Perspectives with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
00:00
How to Avoid Overfitting a Back Test
The idea is that just by pure random chance, and that's what the random number generator is doing, you're going to see strategies that look great. The exercise was to simulate 200 random strategies with a target return of zero. Every single one has no skill, has purely generated numbers, and a 15% volatility. And at the bottom, there's a terrible one that earns 15% negative, and everything in between.
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