In backtesting, benchmark selection is not a reporting detail. It determines what the strategy is being compared against and, therefore, what question the results are actually answering.

At Backtested Strategies, a benchmark is not chosen because it makes a strategy look strong or weak. It is chosen because it is the fairest control portfolio for the strategy being tested. The goal is not to produce a flattering comparison. The goal is to make the strategy’s mechanism and tradeoff clear…