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依然使用图3-1来进行说明,我们在回溯测试时得到的数据是B阶段末尾所有存活成员的数据,但是在箭头所指向的买卖点时,所能见到的成员中还包括一些在B阶段离开的成员。回溯测试中由于数据集的问题直接把这些在B阶段表现不佳的成员进行了排除,就是滥用了B阶段才能得到的信息,从而虚假地提升了量化交易策略的回溯测试成绩。
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