The mystery strategy

Let's take a look at the statistics for this new mystery strategy:

With this strategy, I have essentially doubled the Sharpe ratio over buy-and-hold, lowered the volatility substantially, increased the max win, and reduced the max loss by a significant level.

And how is it that I devised this market-trouncing strategy? Wait for it... I did it by generating 5,000 random overnight signals and picked the best one.

This is obviously not the way to beat the market. So why then did I do it? To demonstrate that, if you test enough strategies, just by random chance you will come across a number that appears to be amazing. This ...

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