Lies, Damned Lies, and Average Returns

Lies, Damned Lies, and Average Returns

We’re told that there are three kinds of lies: lies, damned lies, and statistics. As I’ve been focused so heavily on Signal Testing throughout 2016, I’ve been learning more and more about average returns. I now realise that this statement should be “Lies, Damned Lies, and Average Returns”. In this post I explain why the humble average is such a dangerous number for system builders and investors.

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