Exactly. This is a form of counterfactual bias. It's easy to imagine how you were "almost right" and give yourself credit for that, but it's much harder to imag

Exactly. This is a form of counterfactual bias. It's easy to imagine how you were "almost right" and give yourself credit for that, but it's much harder to imagine when you were "almost wrong" and correctly penalize your thinking in proportion to the almost-wrong-ness. It's easy to imagine you would have turned off the strategy at a convenient time, but it's hard to imagine that you would maybe rationalize that it's just a short slump or something and keep the strategy going. And for any hard rule you make like a priori committing to turning off some strategy if there are X consecutive months of bad returns (for reasonably small X), you can construct some counter-example strategy where, if you had just had the foresight to hold on to month X+1, you would have made a ton of money and there was some after-the-fact obvious reason why months 1 through X had the poor return, and "smart" investors would have understood this and...