, Europium [3rd Floor]
Many investment strategies look convincing because they performed well in the past, but these results are often easy to misread and do not always say much about how the strategy would work in the future. In many cases, strong backtest results come not from real skill or insight, but from hidden rules, unclear data choices, or unrealistic assumptions. In this talk, I show how Tidy Finance principles help make these issues visible and easier to examine. Using clear examples from Tidy Finance with Python, I demonstrate that once assumptions are made explicit, many impressive results no longer hold up.
Many investment strategies look great because they performed well in the past. However, it is often unclear why they work or whether they would still work in the future. Strong backtest results are frequently driven by hidden assumptions, unclear data handling, or unrealistic rules rather than real skill or insight.
In this talk, I show how Tidy Finance principles help people better understand what is actually happening inside a financial backtest. Tidy Finance has become a popular open-source teaching and learning platform for empirical financial research. Its core idea is simple: financial analyses should be built from clear, well-structured data that makes assumptions easy to see and results easy to reproduce.
Using explicit examples from Tidy Finance with Python during the talk, I go through a real backtesting workflow and show how it changes when assumptions are written down clearly instead of being hidden inside the code. I demonstrate how small, often overlooked choices can have a large impact on results, and how these effects become visible when the analysis is structured cleanly. The focus is on learning how to read and question backtests, not on presenting new models or strategies.
Christoph Frey is a Quantitative Researcher and Portfolio Manager at a family office in Hamburg and Research Fellow at the Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy at Lancaster University. Before this, he was the leading quantitative researcher for systematic multi-asset strategies at Berenberg Bank and worked as an Assistant Professor at the Erasmus Universiteit Rotterdam. Christoph published research on Bayesian Econometrics and specializes in financial econometrics and portfolio optimization problems.