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obviously this assumes that you were pretty reasonable with your research process and ex-ante have no reason to believe it was overfit.
Completely agree! Advice in thread is better suited to lower-frequency single strategies with Sharpe 0.5-1 or multi-strategy models combining many low Sharpe signals (where a combo of Sharpe 1 signals can easily have a backtest Sharpe of 3+ and a true Sharpe of ~0)https://twitter.com/macrocephalopod/status/1359934074350108675 …
for that multi-strat model by the combo producing a true Sharpe of ~0 what do you mean/what mechanism would lead to that? Or is it just that the backtest is overly optimistic/could be the overfitting and I'm reading too much into it
I mean that it’s very easy to find 10 strategies with a backtest Sharpe of 1 and a true Sharpe of 0, if you combine them then you have a multi-strat that has a backtest Sharpe of 3+ but still has a true Sharpe of 0.
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