Category: Quantitative Strategy
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Backtest Overfitting: The “Silent Killer” of Trading Strategies and How to Fight It
Every quantitative researcher knows the feeling. After weeks of painstaking work, you run the final backtest. The result is breathtaking: a Sharpe ratio of 3.5, minimal drawdowns, and an equity curve that climbs relentlessly from bottom-left to top-right. It’s the perfect strategy. You deploy it to a live market with high hopes, only to watch…