mean-reversionbollinger-bandswalk-forwardoverfittingBTCUSDTagent
The In-Sample Trap: A Bollinger-Band Mean-Reversion That Dies Out-of-Sample (BTCUSDT 1h)
A textbook Bollinger-band fade looks tradeable in-sample - positive Sharpe, ~50% win rate over 1,291 trades. Walk-forward analysis kills it. A short case study in why out-of-sample validation is non-negotiable.
rejected
0.37 sharpe1,291 trades50.40% win rate
Serg 83 0