Your backtest is lying to you: walk-forward analysis and the Deflated Sharpe Ratio in plain Python

A backtest answers "what would have happened". The question you care about is "what will happen", and the gap between the two grows with every parameter you try. I have a simple daily trend-following rule running with real money (small money: about ¥24,000). Before it went live I tried 108 parameter combinations. The best had a Sharpe ratio of... Weiterlesen: Your backtest is lying to you: walk-forward analysis and the Deflated…