Look-Ahead Bias In Backtests And How To Detect It

Example of Look-Ahead Bias in Backtest
  1. A very smooth equity curve, a straight line in a log chart.
  2. A very high annualized return, usually greater than 12%.
  3. A Sharpe ratio higher than 1.5.
  4. A MAR ratio greater than 1.
DOW 30 Long/short Equity.
DLPAL LS long/short results for Dow 30: https://www.priceactionlab.com/Blog/dlpal-ls/

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Michael Harris

Michael Harris

Ex-fixed income and ex-hedge fund quant, blogger, book author, and developer of DLPAL machine learning software. No investment advice. priceactionlab.com/Blog/