macrocephalopod

Spent most of the day paying serious attention to details of one trading strategy — cleaning noise out of the signal, carefully legging into trades, minimising unnecessary turnover etc — and improved Sharpe of the backtest from 1.5 to 2.8

I, too, know how to overfit a model,

yes this is fair, in this case I’m pretty sure that the true improvement is < 1.3 but > 0

I mean you can definitely consider this an indicator of how bad the model was to start with rather than how good the improvements were