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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.
It’s hard to find a single signal that has a backtest Sharpe of 3 and true Sharpe of 0 (unless there is some structural reason that the effect disappeared) so this kind of extreme overfitting (3 -> 0) tends to come from combining many weak signals into something that looks good
Okay cool, makes sense. I kind figured that but everyone leveling up on their stats/greeks/etc. nowadays and I want to make sure I'm keeping up
phew, was worried for a second there you were implying something about covariances interacting on the standard deviation in the denominator or idk even for the returns on top
No I am way too dumb for that
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