Beyond Backtesting: The Historical Evidence Trap
6 Pages Posted: 20 May 2015
Date Written: May 17, 2015
Sound backtesting methodology is an important aspect in finding and handling promising trading/investment strategies. Although this goal on its own is very difficult to accomplish (Challet & Ayet 2013) one has to deal with even more traps and biases that are capable of affecting future trading/investment performance negatively. This paper briefly sketches four aspects located beyond the well known backtesting biases that are even more difficult to grasp and control.
Keywords: backtesting, market efficiency, investment performance, technological advance
JEL Classification: C50, G10, O30
Suggested Citation: Suggested Citation