It would have been jaw dropping if the backtest showed a strong, durable effect for the month of September only. I would love to read a short fiction story about that happening and how bogleheads might respond.Not really no. First, you haven't articulated a 'theory' of any sorts and fishing for correlations without a solid theory behind what you are looking for is a recipe for disaster. Second, backtesting alone doesn't really offer you assurance of the validity of what you tested particularly when the variance will dwarf the signal. Third, encouraging random goose chasing isn't productive for investors and is very likely to lead to poor decisions, it may be producing for PhD candidates who can't find a topic but even then it rarely ends in something successful let alone something that informs investing.Touchy subject here.
Testing a theory with back testing should be encouraged.
Regarding the bolded part of what you wrote, it is entirely possible for investing theories themselves to be poorly founded. I suppose it's less likely for a baseless theory to correspond to a strong signal in a backtest compared to just fishing, but those stars could align...
You did say solid theory, so perhaps it is a moot point. But one could still go fishing with bad theories and may even catch something. I will bet this has happened at least once in history.
Statistics: Posted by blortchplop — Sat Aug 24, 2024 9:45 pm — Replies 59 — Views 4782