There are certain rules (like > 80% PSR) that are required for alpha market strategies for backtests.

As usual, many strategies are curve-fitted and no longer remain inside those parameters when traded live as can clearly seen from alpha market statistics (from hundreds of algos in alpha market, 80% PSR filter is only true for about 10 strategies)

So my question is two-fold: 

  • Is there an actual reason to use this tightly controlled parameters for backtests? Wouldn't filters like this encourage curve fitting especially as the backtest length is capped to only short period?
  • If filters like these are realistic, shouldn't the same filters also apply to forward tests (ie. live statistics)? What is the point of only filtering strategies based on backtest?


My 2 centrs: I personally would much prefer longer backtests (20 years or so+) so I could see how the strategies work outside the current bull market and would like the filtering to be realistic so that I know that the filters are reasonable and that live results would also be filtered using same approach to discourage curve fitting.