macrocephalopod

This is a really interesting question, and of massive practical importance if you are managing systematic strategies. To generalize a bit -- someone tells you they have a strategy with a Sharpe of S. What questions should you be asking about the strategy to verify that it's real?https://twitter.com/o_wutang/status/1359686542466445312 …

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