Impact of Dataset Selection on the Performance of Trading Strategies

It would be great if the investment factors and trading strategies worked all around the world without change and under all circumstances. But, unfortunately, it doesn’t work like that. Some of the strategies are market-specific, as shown in this short analysis. The Chinese market has its own specifics, mainly higher representation of retail investors and lower efficiency. And it’s not alone; countless strategies work just in cryptocurrencies, selected futures, or some other derivatives markets. So, what’s the takeaway? Simple, it’s really important to understand that each anomaly is linked to the underlying dataset and market structure, and we need to account for it in our backtesting process.

https://quantpedia.com/impact-of-dataset-selection-on-the-performance-of-trading-strategies/

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Quantpedia.com — The Encyclopedia of Quantitative and Algorithmic Trading Strategies