Two analysts, one filters on significance
Two analysts each run the same large batch of independent, unbiased backtests of genuine (but weak) effects. Analyst One records the estimated edge from every backtest. Analyst Two records the edge only from backtests that reached .
Explain which analyst's average estimate is unbiased for the true edge and which is biased, and why.
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.