Statistical significance is elusive
On October 19, 1987 the stock market (S&P500) crashed by over 20%.
Any strategy out of the market on October 19 appears good over multiple years including this day.
But performance on a single day cannot be statistically significant.
- The results in Optimization of a Trading System using Global Search Techniques and Local Optimization by Donald L. Iglehart and Siegfried Voessner, Journal of Computational Intelligence in Finance, Nov./Dec. 1998 are not significant.
Data-mining lesson: Even if a lot of data seems available, the number of examples of a rare category may be too small for statistical significance to be achievable.