I have a question for the stats studs out there:
If I developed a system that when backtested creates a smooth upward daily equity curve (i.e., >99% correlation) incorporating >3611 trades over 427 days, is it even necessary to do an in-sample/out-of-sample test on that? I can understand doing that when the in-sample results have a high beta and generates an erratic equity curve, but if my equity curve has a nice upward trajectory regardless of the time period I'm looking at, doesn't that already imply that the system is consistently profitable, or is an out-of-sample test still necessary regardless of the equity curve my in-sample generates?
Thanks in advance for any insight!
On what instruments? On what timeframes / volume / tick ?
Not to rain on your parade, and I have no idea what you are doing, but 427 days is meaningless IMO.
Others may refute that.