In-Sample vs. Out-Of-Sample Analysis of Trading Strategies
Science has been in a “replication crisis” for more than a decade. But what does it mean to us, investors and traders? Is there any “edge” in purely academic-developed trading strategies and investment approaches after publishing, or will they perish shortly after becoming public? After some time, we will revisit our older blog on this theme and test the out-of-sample decay of trading strategies. But this time, we have hard data — our regularly updated database of replicated quant strategies.