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185: How to avoid creating trading strategies that degrade quickly - Timothy Masters
Better System Trader
Permutation Test Procedures - How to Get Good Performance Out of Sample Data
Good performance on your out of sample data is a necessary but not sufficient condition. You also need to know the approximate probability that the great results you just got out of sample could have happened surely by good luck. The third and last of these permutation test procedures that I'm going to talk about, this is pretty complex. It's far too complex for me to deal with right now. We're going to assume that you saw good performance. So for our purposes now, we're going to assumption that you sawgood performance.
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