The stock market generates such vast quantities of information that,
if you plow through enough of it for long enough, you can always find
some relationship that appears to generate spectacular returns — by
coincidence alone. This sham is known as "data mining."
Every year, billions of dollars pour into data-mined investing
strategies. No one knows if these techniques will work in the real
world. Their results are hypothetical — based on "back-testing," or a
simulation of what would have happened if the manager had actually used
these techniques in the past, typically without incurring any fees,
trading costs or taxes.