T/A ETF AND INDEX

[capt_jmj]

An appropriate illustration of the issue would be a quantitative, TA-based system with a number of rules and indicators. As the indicator parameters are changed with the benefit of hindsight (i.e. the optimization of backtested results), you arrive at a set of parameters that is a better fit for the data than what you had previously, and while you may feel that the new parameter set should provide better results going forward, you can't claim any credit for it in the backtest because you didn't know what it was then. Just try calling up your broker and convincing him to give you credit for a trade that your system now says that it would have made if it knew then what it knows now.