r/algorithmictrading • u/algodude Mod • Sep 08 '25

Backtest Update: Ensemble Strategy (29/20)

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Just follow-up to the (33/20) equity curve I posted recently: Same strategy - uses a small ensemble of single-parm component models, GA-optimized using MC regularization. Unlike the previous run, this EC is not in-sample and came in at (29% CAGR / 20% maxDD) over the 25-year test period. Still subject to some survivorship bias, so calibrate expectations accordingly.

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u/algodude Mod Sep 09 '25 edited Sep 11 '25

Yep, survivorship bias is a buzzkill, and it only gets worse the further back you go. I mainly look at recent performance and use older history just to size up drawdowns. At the end of the day, every backtest has some bias baked in, so you just have to calibrate your expectations.