- concetto·7 min di lettura
Does the best backtest predict the future? We measured it 200 times
When you optimize a strategy and ship the best-Sharpe settings, you're betting the in-sample ranking of your parameters holds up out-of-sample. Across 200 strategy-coin grids, that ranking correlated just 0.37 with reality — and a quarter of the time it was no better than random.
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- concetto·8 min di lettura
What is overfitting in trading? The mistake behind most failed strategies
Overfitting is when a strategy learns the noise in your historical data instead of a real pattern. It looks like genius on a backtest and fails the moment it meets a live market.
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- concetto·8 min di lettura
The deflated Sharpe ratio: how to tell a real edge from a lucky one
Test enough strategies and one of them will show a Sharpe of 2.0 by pure chance. The deflated Sharpe ratio is the correction that tells you whether your best result is signal or selection bias.
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- concetto·9 min di lettura
What is walk-forward optimization (and why TradingView strategy testers lie to you)
Backtest equity curves look beautiful right up until the moment you trade them live. Walk-forward optimization is the cure — here's how it actually works.
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