16 Pages Posted: 21 May 2019

Date Written: August 25, 2014

Abstract

We provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, we need to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. Our methods are simple to implement and allow for the real-time evaluation of candidate trading strategies.

Related papers are: Backtesting as well as ... and the Cross-Section of Expected Returns.