This is the layman’s explanation I was given to me by my finance professor in college: In the extreme: If you take completely random price fluctuations and pl

This is the layman’s explanation I was given to me by my finance professor in college: In the extreme: If you take completely random price fluctuations and plot them on a graph then review them, they are no longer “random” - they become fixed because they’ve been recorded. It becomes possible to look for patterns, of which there will always be some (that’s the nature of randomness). It doesn’t matter the time scale. So your system that works over 20, 30, 50 years of past data is just fitting to the randomly-generated but not-actually-random once recorded set of data. From now into the future, the randomness will re-emerge and the system will fail. Another way of thinking about it: imagine you click a button to generate a random time series over 20 years, then build a trading algorithm based on that single click. Great - it works! Now click again and regenerate the entire series and see if it still works :)