Backtesting and overfitting
A backtest shows how a set of rules would have done in the past. These pages explain how to read one, why most impressive backtests fail afterwards, and how to test a strategy on data it was not tuned on.
What is backtesting?
What backtesting a strategy means, how a backtest is built, the common biases that make backtests look better than reality, and how to use results wisely.
Overfitting in investing
What overfitting is, why strategies tuned to past data fail in live trading, what a large study of community strategies found, and how to measure it.
Out-of-sample testing
How out-of-sample and walk-forward testing check a strategy on data it was not built on, how to split your data, and how to read the results honestly.
How to read a backtest
Which numbers in a backtest report to trust, which to question, a checklist for spotting unrealistic results, and how to compare a strategy with a benchmark.