ChristianKl comments on Exercise isn't necessarily good for people - Less Wrong Discussion
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There no reason why you would have to double blind it to measure whether engaging in it causes you benefits or harms. It's irrelevant whether you improve your health because you think that exercise improves it or whether you improve it because of physical effects of exercise.
The problem's with self experimentation are different. Subjective ratings can be off. Then you are measuring short term effect and ignore long term effects.