Tag the Lie

Which question exposes a fitted parameter?

• Net of what?
• How many versions were tried?
• Is the stop where the plan put it?

A rule wins 90% of its trades, with the sample, costs and an out-of-sample test all shown. Why can it still lose money?

• It can't; 90% after costs and out of sample guarantees a profit
• The 10% of losing trades can be large enough to outweigh the 90% of small wins
• Because win rates always fall by half when traded live