If you test 10,000 strategies and keep the best one, its edge is inflated by roughly sqrt(2 * ln N) standard deviations. For N = 10,000 that's ~4.3 sigma of pure luck. The number on the screen is not the number you'll trade.
September 4, 2026 2
If you test 10,000 strategies and keep the best one, its edge is inflated by roughly sqrt(2 * ln N) standard deviations. For N = 10,000 that's ~4.3 sigma of pure luck. The number on the screen is not the number you'll trade.
