Yes, this. The small subsets and super high Sharpe ratios look suspicious. Further red flags in this particular case: - Completely unclear what kind of data

Yes, this. The small subsets and super high Sharpe ratios look suspicious. Further red flags in this particular case: - Completely unclear what kind of data they're using. Are they assuming they can buy and sell one individual contract at the bid price each minute? Or did I miss some crucial information about bid-ask spreads? - Abstract mentions a profit, not an information ratio/Sharpe ratio or anything similar. - During training they need to tweak the reward function in order to not end up with "buy and hold"? How good is their strategy compared to buy and hold? - Plots without proper labels.