In the【Backtest】, after trying 8,800 scenarios with random price movements, the Sharpe ratio came out to 1.27

Good morning on Saturday.

Today is a topic that anyone who builds an Expert Advisor will have to face at least once: overfitting the performance.

In a study by Bailey and four others (2017), they conducted a test like this.

They created price movements that move randomly, like rolling dice. About 4 years' worth, 1,000 days. There are no meaningful rules included.

Then they apply 8,800 trading rules formed by combining four settings.