Historical Backtesting Without Data Leakage

Historical Backtesting Without Data Leakage

A backtest is a historical simulation, not proof of skill

A credible backtest recreates what could have been known and executed at the decision time. A model that uses revised stats, end-of-season rankings, final injury reports or unavailable odds to predict an earlier match will often look far stronger than it really is. This is look-ahead leakage. Other problems include selection bias, repeated tuning to the test set, survivorship bias and unrealistic execution assumptions.

A time-aware data contract

◆ Pro lesson

The rest of this lesson is in Sharp App.

More Sharps lessons

Ready to put it into practice?

Historical Backtesting Without Data Leakage | Sharp Academy