Peter Brandt's Candid Take on Back-Testing and Trading Strategies

According to Peter Brandt, back-testing a discretionary trading strategy is fundamentally unfeasible according to experts from firms like Renaissance and Goldman Sachs. Even minimal discretionary oversight, such as 10%, still classifies the approach as discretionary. Strategies that rely solely on systematic methods must undergo extensive in-sample and out-of-sample testing to be considered credible, as without such rigorous testing, trustworthiness diminishes. The only dependable method is forward testing, where pre-planned orders are executed over numerous trades, and results are evaluated with comprehensive metrics. Anything less is misleading.