"10 Ways Backtests Lie" by Tucker Balch

by Tucker Balch, Co-founder and CTO of Lucena Research. From QuantCon NYC 2015.
"I’ve never seen a bad backtest” - Dimitris Melas, head of research at MSCI. Quantitative Analysts rely heavily on backtests as a means of validating their trading strategies. All too often, strategies look great in simulation but fail to live up to their promise in live trading. There are a number of reasons for these failures, some of which are beyond the control of a quant developer. But other failures are caused by common but insidious mistakes. In this talk I’ll review a list of 10 pitfalls in strategy development and testing that can result in optimistic backtests. I’ll also present methods for detecting and avoiding them. This talk will be of interest to quant developers and also non-quants who are interested to know what to look out for when presented with remarkably successful backtests.
The slides for this presentation can be found at www.slideshare.net/Quantopian....
To learn more about Quantopian, visit us at www.quantopian.com.
Disclaimer
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
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In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

[@nustaimo6755]

He joined J.P. Morgan AI Research as Managing Director in Jan 2019

[@arfa9601]

“Don’t forward test”

[@t_ionk5688]

can anyone please tell me what the last gentleman to ask a question, was talking about.Thank you.

[@Pietrabentivi]

Nice

[@jdgcreative]

who else is here after their backtest returns 7.377e+21% apr

[@jonesr227]

His book is $35 for 148 pages on Amazon. So, counter to claims to the contrary, it's not cheap.

[@StephenRoseDuo]

jonesr227 a book should be judged by its content not its pages

[@Zambito1]

He says it's $5 in the video though.