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Research noteBT-2026-0205

Backtests on model-driven strategies leak more than usual

The model was trained on the period you are testing. That is not a detail.

SpansAISECFIN

6 minAlgorithmic & AI Trading

Evaluating a strategy over a window that falls inside the training corpus of the model driving it produces results that mean very little. Almost every published backtest of this kind has the problem.

Honest evaluation needs a genuine holdout after the training cutoff, which limits you to short windows and modest claims.

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