Even with live data as a validation set (and ignoring your point about execution friction), it's inappropriate to naively infer expected future return from tota

Even with live data as a validation set (and ignoring your point about execution friction), it's inappropriate to naively infer expected future return from total return during the validation run, since asset price fluctuations don't follow a normal distribution. Very high volatility events happen far more commonly than a Bell curve predicts, hence a few lucky or unlucky outliers can skew your total. The Sharpe ratio which they used to measure risk exposure also dangerously assumes a normal distribution.