Warning: Trading Strategies May Be Overhyped - Live Performance Disappoints
The study looked at 215 trading strategies from global banks to see how well they performed in real life compared to backtesting. They found that most strategies did worse in real life, with a 73% drop in performance. Complex strategies did even worse, losing over 30% more than simple ones. Some strategies did okay in certain markets, like stocks and currency, but not so well in others, like value investing.