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Curve fitting

Shaping a strategy's rules around the particular history you tested on, so it describes the past precisely and predicts the future not at all.

The mechanism is simple and seductive. Each adjustment that improves the backtest is made because it improved the backtest, so the result is a description of that specific sample. Add enough rules and you can make any history profitable, including a random-walk.

Tell-tale signs: parameters at oddly specific values, rules that exclude particular dates or instruments, more conditions than the strategy has independent trades to justify, and a sharp performance cliff when a parameter moves slightly. Compare against a parameter-plateau, where nearby values behave similarly.

The defences are all about restraint: fewer rules, fewer parameters, a reason for each that exists outside the data, a holdout-set you look at once, and walk-forward-analysis rather than a single fitted period. None of them prevents curve fitting; they only make it visible.

Related: overfitting, degrees-of-freedom, parameter-plateau, data-snooping

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