Data Snooping: Is Your Best Backtest Just the Luckiest?
You tested 50 variants and kept the best. White’s Reality Check shows how a p-value of 0.004 became 0.20 once the search was counted.
#backtesting
2 articles
How Many Trades Prove a Strategy Works?
A win rate from 30 trades is mostly noise. The formula, a table of how many trades separate a real edge from luck, and a sample-size checklist.