It may be entirely spurious and have no predictive power, but you will find one. To give you an idea, you'll always find what we call data miners who will show you that there is a 100 percent correlation between his great aunt's blood pressure and the back-month Nikkei volatility. When you're a trader you get a lot of calls from people who found relationships that can produce a 10 Sharpe ratio. That means it's almost impossible to lose money on the trade. Sure enough, when you start trading you realize that the relationship was not there.
Trading has fewer biases than statistics.
As a trader, my job is to understand biases and trade on them. There are all kinds of biases. The most common is the small sample bias. Many traders show very steady incomes but they could be fooling themselves because they don't have a long enough period to chart their performance. Their Sharpe ratio will not be indicative.