Some Common Mistakes Beginner Quants Make

Introduction

This has been a surprisingly popular request - an article on all the common mistakes beginner quants make. In my experience managing starry-eyed researchers eager to prove themselves, all mistakes are essentially a result of insufficient skepticism for the difficulty of finding alpha, a mistaken belief that complexity is correlated with performance and a poor research hygiene honed by school.

You see this all the time when dealing with beginner quants. The presentation of backtest that looks fantastic, baked by the most sophisticated techniques known to man. And if you take the same signal and wait 6 more months in live to check out its generalization, it almost always ends in disaster.

Why? Are there common themes underlying the same folly? I believe so!