How to avoid cherry-picking?

I don't understand how choosing a profitable strategy from thousands of unprofitable strategies will lose money.

 

You need to change your premise. You can't choose a profitable strategy from unprofitable ones.

 

You're dead already. You should develop your own strategy, not choose somebody else's strategy that probably will never "fit" you.

 

The problem is that the cherry-picked system usually really isn't profitable.

Imagine this experiment - I take 4096 monkeys and give each one an ES short and ES long button. They press them randomly based on whatever whims go through their banana-addled brains.

At the end of the month, ignoring commissions and gap, roughly 1/2 the monkeys will be ahead. I shoot the other 1/2 (hey, this is a tough business) and let the survivors trade for the next month. At the end of a year, I will have on average one monkey left with a 12-month winning track record with no losing months. If you want a longer track record, all I need is more monkeys.

Is the surviving monkey a winning trading strategy?

 

Love you're monkey story! Are you an Economic or Military Adviser for the current administration?

 

Me personally, no. But several graduates from our Bank Monkey(TM) program now hold prestigious jobs at the Fed and Treasury.

The DoD Chimp program is still in beta, but I foresee great things!

 

The current administration has no economic advisors.

 

bravetom, I could not agree more.