Backtesting: The 7 fatal mistakes that render 80% of all trading strategies worthless
The €2.3 million illusion In 2019, a German family office developed a "revolutionary" EUR/USD strategy. The 5-year backtest showed impressive figures: Sharpe ratio: 2.8 Win rate: 73% Maximum drawdown: 8.2% Annual return: 34% The quant team was thrilled. Management approved €10 million in start-up capital. The strategy went live in January 2020. After 18 months: loss of 2.3 […]
