Common Pitfalls in Backtesting
What are common pitfalls in backtesting?
Answer
The main main ones, in order (in my opinion), are:
Overfitting
Look-ahead bias
Slippage and transaction costs
Data snopping
Survivorship bias
What are common pitfalls in backtesting?
The main main ones, in order (in my opinion), are:
Overfitting
Look-ahead bias
Slippage and transaction costs
Data snopping
Survivorship bias