Debunking the myth: "If you backtest too many ideas across too many markets, you will just overfit".
u/Kindly_Preference_54 ·
Reddit — r/algotrading
· May 26, 2026 at 12:26
· ⬆ 15 pts
· 💬 34 comments
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Summary
The author argues that extensive backtesting across multiple markets is not inherently overfitting; it can be a valid path to discovering an edge.
They describe their own journey: after abandoning preconceptions, they tested many ideas, eventually identifying a systematic edge described as "regime-adaptive mean-reversion with dynamic exit logic."
The post focuses on methodology and philosophy of strategy discovery rather than providing specific trade recommendations or market forecasts.
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The following two things don't have to go hand in hand::
1. Searching for your edge and actually proving it statistically by proper walk-forward analysis
2. Not knowing what it is and why it works.
A trader can find their edge and only then understand why it works. Most people do the opposite and fail to find an edge, because their understanding of what should and shouldn't work is limited in the first place.
That’s exactly what happened to me.
For years, I couldn’t find a real edge. Then I stopped trying to logically predict what SHOULD work and decided to empirically backtest every idea and strategy I could get my hands on.
This eventually led me to concepts that helped me build around 10 custom indicators of my own.
Then, through large-scale optimization and walk-forward analysis across multiple markets — forex, equities, commodities, crypto — I finally found my edge.
Only after that I properly expressed what it actually was:
Regime-adaptive mean-reversion with dynamic exit logic.