111: David Bush – Strategy Objectives, Statistical Significance, and Market Behavior
Chat With Traders
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How to Avoid Overfeeding Your Strategy
Once you have run your strategy or idea over your out of sample data, and then you go to make some changes and do it again, that is essentially all now in sample data. That can be a glaring, hard, impossible to ignore sign that you have developed a curve fit model. You know, obviously real performance, you launch that strategy on real money now, and you are not seeing, you're immediately breaking metrics that shouldn't have been broken. It's just something that you need to be aware of for sure.
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