Backtests Ain’t Worth the Pixels They’re Written On
The most common feedback (by far) I’ve received about our proprietary strategies over the last 6+ years have been requests for backtested results.
My response has always been that I don’t release backtested results for our own strategies…ever.
Backtests are perfectly fine for testing, sharing, and discussing ideas; that’s more or less the only thing we do here on this humble blog.
But backtests should never be used to judge the efficacy of a black box you’re considering committing hard earned funds to.
I’m cynical. I’ve seen way too many examples of folks who sold based on backtests, only to fall woefully short in real-time trading. I’m sure you could recount your own share of horror stories.
The only thing that really matters in judging a strategy is actual, real-time, verifiable trading results. Everything else is window dressing.
If I could somehow guarantee that folks would see backtests for what they’re really worth: best guesstimates, guilty of the same cognitive biases that we ALL face and inherently curve-fit, I would release them in a heartbeat.
But I can’t guarantee that.
So sorry, but I can’t in good conscience share backtests. Rest assured that they would be sexy, and your eyes would go wide, but that, like all backtests, they wouldn’t be worth the pixels they were written on.
Happy (actual) trading,
P.S. Tangentially-related link on this subject (h/t Abnormal Returns):
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