Financial Backtesting: A Cautionary Talehttp://www.philosophicaleconomics.com/2015/12/backtesting/"Now, imagine that it’s late December of 1999, and I’m trying to sell
this strategy to you. What would be the best way for me to sell it? If
you’re familiar with the current intellectual vogue in finance, then
you know the answer. The best way for me to sell it would be to
package it as a strategy that’s “data-driven.” Other investors are
employing investment strategies that are grounded in sloppy, unreliable
guesses and hunches. I, however, am employing an investment strategy
whose efficacy is demonstrated in “the data.” All of the success that
you see in the well-established fields of science–physics, chemistry,
biology, engineering, medicine–you can expect to see from my strategy,
because my strategy originated in the same empirical, evidence-based
approach."Edit: I see @brooklynguy already posted this article in the
"Dual Momentum" thread.
Apologies for the re-post.
