%0 Journal Article %A Campbell R. Harvey %A Yan Liu %T Backtesting %D 2015 %R 10.3905/jpm.2015.42.1.013 %J The Journal of Portfolio Management %P 13-28 %V 42 %N 1 %X When evaluating a trading strategy, it is routine to discount the Sharpe ratio from a historical backtest. The reason is simple according to the authors: there is inevitable data mining by both the researcher and by other researchers in the past. In this article, the authors provide a statistical framework that systematically accounts for these multiple tests. They propose a method to determine the appropriate haircut for any given reported Sharpe ratio. They also provide a profit hurdle that any strategy needs to achieve in order to be deemed “significant.”TOPICS: Statistical methods, portfolio management/multi-asset allocation %U https://jpm.pm-research.com/content/iijpormgmt/42/1/13.full.pdf