Momentum: +20,310% in discovery, a ruin path in reality
See how a spectacular discovery number fell apart under holdout, robustness and account-path checks.
Module 26 of 26, Strategy case files: what Tickfloor tested. Lesson 3 of 6, about 18 minutes.
The takeaway
Discovery backtests that pick the best from many attempts will mislead you; always check holdout, split-half, and account paths.
This page is a public summary. The full lesson has the worked examples, an interactive exercise and a short quiz, and sits in the course. Lessons 1 and 2 of Module 1 are free and the rest need a pass.
Open this lesson in the course
General information only. It doesn't consider your objectives, finances or needs. Tickfloor holds no financial services licence and never places trades.
Concepts in this lesson
Previous lesson
Next lesson
Related lessons
- Momentum and mean reversion: two opposite stories
- Losing streaks and how accounts blow up
- Fixed-fraction sizing, fixed-dollar sizing and the risk of ruin
- Testing on prices the strategy never saw