“As for me, all I know is that I know nothing.”

I love this quote from Socrates. Humility is such an important virtue.

Some people questioned the robustness of a strategy shared the other day (the mean reversion strategy with 2.11 Sharpe).

I did 1,875 experiments varying the parameters.

Contrary to what some people said, the data suggests the strategy is robust indeed, and not overfitted to a specific choice of parameters.

However, the strategy underperformed the benchmark in 7 out of the last 10 years. This is not good.

Saturday, I will share the full analysis and my attempt to improve the strategy. Let's keep looking for the truth :)