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.
#multiple-testing
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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.