I'm not an investment expert, but wouldn't there be virtually unlimited upside in an optimal hindsight strategy? I.e. you could use derivatives and other financial instruments to gain an arbitrary amount of leverage and hence return, since there would be no risk.
Expanding on this, this idea of looking backwards as a method determining what returns you could have made is actually the root of a lot of _bad_ investment advice.
People often look back and try to determine some type of optimal portfolio that they claim is the best in all economic environments because they found it to be the best portfolio in the certain timeframe they looked, but they had the benefit of checking hundreds of different potential sets of funds and if you were to actually calculate the probability that composition of funds is better than any other composition you'd find that it was just random chance it provided the best returns over that time frame.
Granted there is a lot to learn from looking back, but it's also very imperfect if you're not taking in to the benefit of hindsight.
Compensating for this effect of training may be done by properly discounting the measure using the Deflated Sharpe Ratio or similar corrected SR's. I always ask any interviewee who cites experience producing these measures a question with this effect as the crux. Few come back with a correct answer.
