Today, I find it hard to be agnostic on the questions of whether markets have changed and how they may have changed. The trends of the 1970s occurred in the absence of computer-generated, trend-following algorithms. The markets of the last ten years are distorted by the onslaught of the technical trader.

As a result, I back test only the last ten years. In the unlikely event markets are as good and undistorted as they were in the good old days, I'll be happy to make less than I might if I had used that early data in an optimization.

To make even moderately reliable judgments about a kind of trade, you need something like 300 instances. This is a minimum figure. I don't feel comfortable acting on research results unless I have several thousand instances.

Research that starts with concepts is much more likely to avoid curve-fitting than blind number-crunching.

I prefer the term "over fitting". This makes clear that you can under fit to data. Those CTAs who boast that they never optimize are doing precisely that--they are grossly under fitting.

The pressure to inflate away debt and politicize monetary policy will be overwhelming. This regrettable chaos means volatility and trends.

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