The more you refine your strategy, the greater the chances you have of fitting your strategy to our historic database. This is unlikely to be of any predictive value. Therefore, in order to mitigate this risk, we suggest the following:

  1. create strategies which have an underlying economic rationale
  2. create simple strategies (the more detailed you get, the more likely it is that you’re fitting your strategy to history rather than creating successful investment rules for the future)
  3. test over different time periods and consider the economic conditions of those periods
  4. test in different markets (a global database point-in-time database is coming soon)