Main points:
- backtesting is an attempt to learn the future by looking at the past
- the connection between past and future is chaotic
- if we look at the wealth curve of a backtest, everything we infer about that result could be wrong
- mimicking the backtest with random trades provides a true picture of when the strategy works and when it doesn’t
- it is useful to do the backtest with multiple starting portfolios
- the only truly out-of-sample test is real trading
- herd risk is a problem
- we played the minority game
- optimism bias is a problem
Presented 2010 November at the Thalesians.
There is a video of the talk on the Thalesian website (towards the bottom).
Kommentarer inaktiverade för Effective Backtesting
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