4 ms·
A historical good Sharpe is usually a prerequisite, but not a guarantee of having good live performance. I'm sure you're aware of overfitting backtestes and it
by maest 6y ago
A historical good Sharpe is usually a prerequisite, but not a guarantee of having good live performance.
I'm sure you're aware of overfitting backtestes and it sounds like that's what you were doing.
- cg94301 6y agoYou can find patterns without necessarily overfitting to them. It's more a question of correlation vs causation. Looking for patterns reported in research papers would be more promising. But cannot automate that.