Comment by minimax

The problem with the paper is not overfit. They claim to have run their simulation with out of band ("live") data. The actual problem with the paper is that we have no idea if their simulator is any good, which means that their result (89% return in 50 days) could be totally bogus. In other words, we don't know if the actual bitcoin exchange would fill their orders at the same prices (if at all) as their simulator does. A decent simulator for a high-frequecy strategy like this is not trivial because you have to incorporate all the exchange behavior (documented or not) into your simulator, and then you have to validate your results by comparing your simulated results to the results of some actual trading. The fact that they spent none of the paper on the details of the simulator makes me extremely skeptical.