Take 100 coins, throw them into the air and pick up only those showing heads.
Now repeat the game and throw those lucky heads coins into the air and pick up the ones showing heads again. And repeat the game again and again and again until you end up with only one coin.
During the last probably 5-8 throws this coin has constantly shown heads. Now take this coin, go to the next casino and bet a million on it; Shouldn’t you win for sure?
And now think about this when doing your next parameter optimization. If you overdo it and just search for a random parameter that fixes your strategy the outcome isn’t worth any more than your lucky coin. The same applies if you just add rule after rule.
Be careful, the chimeras of statistics are just around the next corner…
algocodes 