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491 Why Do Perfect Trading Strategies Fail Live The Problem of Overfitting
When it comes to systematic trading trading, one of the most common objections concerns the reliability of backtesting itself. Many people believe that trading systems only work on past market data and that the results achieved through historical testing have no real predictive value. And to some extent, that criticism makes sense. Achieving excellent backtest results is not particularly difficult: all you need to do is keep adapting rules, filters, and parameters to past market data until you create a strategy that appears almost perfect. The problem is that, in many cases, you are not…
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