Strategy discovery and Backtesting: How to Handle Multiple testing ? 

Backtesting is a technique widely used in finance when it comes to strategy discovery: it simply consists in testing a potential strategy against the set of historical data. Morally, this amounts to observing how the strategy would have returned, had it been launched sveral years ago. This wayof doing, albeit widespread across the industry, may prove to be trickier than it may seem at first sight. Tapping historical data exposes to a lot of statistical biases, and those biases must be propoerly taken into account if one does not want to face poor and disappointing results once the strategy is implemented in real life.