There’s rather a good article here (on Michael Harris’s website), about curve-fitting and “why strategies fail”, which I thought I’d share …
[B]Momentum, Randomness And Survivorship Bias | Price Action Lab Blog[/B]
Bit confused on how the author uses the term momentum here…could just be my lack of education on what exactly he was trying to convey. While his “subject” was the SPY since inception, I immediately discount any type of “research/back-testing” on that instrument which includes anything from '07 forward, simply because the FEDs QE program was an unprecedented interjection of liquidity into the market (alongside artificially low interest rates) giving the SPY a “natural” upward bias for the last 8 years.
Additionally, this ETF tracks an index that already has a natural upward bias as well. Meaning, it will be rising more often than falling. Is that the “momentum” he’s referencing…?