macrocephalopod

Only problem is that the price series is one I generated using 100% random noise, it is completely unpredictable by any signal. Congratulations, you now know how to overfit a backtest. Welcome to quant research.

This is Shannon's Demon - you can get meaningfully positive ER by volatility pumping. Sure, it has issues (its basically short gamma) but what you found is "legit" and not an overfit.

No it really is an overfit.

The fact you chose 7 days is an overfit. However, the fact you see positive Sharpe at any horizon is because of Shannon's demon. @breakingthemark

This is further proof to me that the “shannon’s demon” crowd are actually insane.

Shannon’s demon needs +ve arithmetic return but flat or negative geometric return. I generated this data myself so I know it has zero arithmetic return! The fact that you would argue with me about data *that I made up* is simply a confirmation that you are an idiot.

To be fair, you started the thread portraying the data as a real stock, and not a random stream you made up. What's the volatility of the actual data, and I assume it's daily data?

The entire point is that it’s a bait and switch! There is absolutely no way that you can read the entire thread and conclude “yes, it would be possible to make money from this” unless you are a moron. It’s 1%/day volatility zero arithmetic drift geometric brownian motion.