  Calibrating a trading rule using a historical simulation (also called
backtest) contributes to backtest overfitting, which in turn leads to
underperformance. In this paper we propose a procedure for determining the
optimal trading rule (OTR) without running alternative model configurations
through a backtest engine. We present empirical evidence of the existence of
such optimal solutions for the case of prices following a discrete
Ornstein-Uhlenbeck process, and show how they can be computed numerically.
Although we do not derive a closed-form solution for the calculation of OTRs,
we conjecture its existence on the basis of the empirical evidence presented.
