作為Quant Field工作多年的,評價一下主要的issue

來源: 2025-09-14 20:42:35 [博客] [舊帖] [給我悄悄話] 本文已被閱讀:

總體上非常好的一個實踐,但有3個potential issues in practice or implementation:
 

Selection Universe Bias: The backtest's universe (Mag7) is an in-sample, hand-picked group that has been the best-performing over the period. The strategy's success is tied to this specific group's unique market conditions.

Lack of Real-World Costs: The absence of transaction costs and slippage over a rebalancing schedule makes the returns appear higher than they would be in practice.

Future-Proofing: The backtest doesn't prove the strategy's efficacy in different market environments, such as bear markets, high-interest rate periods, or when other sectors are leading the market.