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A comment on Introduction to Zipline: A Trading Library for Python. Parent comment

Re:Introduction to Zipline: A Trading Library for Python by dragonwriter on Monday July 25, 2016 @07:11PM (#12162266)
Novices sometimes beating pros is something you'd expect to be true the more performance was due to luck rather than strategy.

If it was strongly strategy-dependent, best-information would win predictably and consistently.

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Re:Introduction to Zipline: A Trading Library for Python by lpage on Monday July 25, 2016 @07:38PM (#12162358)
Yup. Incidentally this is exactly the same effect that makes model selection within a portfolio challenging. Two worthwhile reads on that front: the multiple comparison problem [1] and regression towards the mean [2].

Regardless of your objective - hosting a contest like this or allocating to individual institutions and strategies - you'll always face this problem. Good allocation decisions are tactical, taking both the logic of the strategy and the broader portfolio into account. Bad allocation decisions chase returns.

[1] https://en.wikipedia.org/wiki/Multiple_comparisons_problem

[2] https://en.wikipedia.org/wiki/Regression_toward_the_mean

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