The Effective Number of Tested Strategies [Vertox Quant] (opens in new tab)

In one of my recent articles, we looked at a paper that proposed a measure of how many strategies you effectively tested in-sample. I found the idea of such a measure really interesting and useful, so I went deeper into it, uncovered problems with existing measures, and ultimately came up with my own measure that has all the properties I desire from such a measure! What is the point of such a measure? Let’s say you are testing a moving-average crossover strategy, and you test 20 different com...