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Investment Strategies / Mechanical Investing❤
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Author: FlyingCircus ✭  😊 😞
Number: of 4356 
Subject: Re: A one-year backtest!
Date: 08/20/2025 7:59 PM
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No. of Recommendations: 4
Nagel concluded that because the model was dissecting just 12 months of data, it was simply copying signals that had worked more recently. In other words, it was following a momentum strategy — a well-established trading approach.

... and isn't that what we would expect? A one year backtest trained on 10,000 parameters (most of which are irrelevant or coincident) is as predictive as a one year backtest trained on 10? I mean... that's not even momentum trading.

imagine the cocktail conversation - "I beat the S&P this year by 2% by paying x$$$ for a service that trades based on 10,000 parameters."...

I want the model Bradley Cooper's character used in Limitless.
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