A smooth equity curve is an invitation to investigate—not a conclusion. The more parameters a strategy contains, the easier it becomes to explain the past without learning anything that survives.
1. The rules were chosen after seeing the outcome
If dozens of windows or filters were tried, the winning combination inherits the benefit of hindsight. Keep a true holdout period and record how many variants were tested.
2. One regime did all the work
Split results into rising, falling, sideways, calm, and volatile periods. A strategy that only works in one environment needs an explicit regime assumption.
3. Execution was frictionless
Fees, spreads, delayed signals, unavailable prices, and order sizing can erase a thin edge. ThorAlpha keeps these assumptions visible.
4. The benchmark was too easy
Compare against cash, a relevant passive alternative, and a strategy with similar risk—not only raw return.
5. The rules are difficult to explain
If the strategy cannot be stated plainly, it will be difficult to audit when it behaves differently from expectation.