New version 18 available now


Download software Tutorial videos
Subscription & data-feed pricing Class schedule


New account application Trading resources
Margin rates Stock & option commissions

Welcome Guest, please sign in to participate in a discussion. Search | Active Topics |

FYI:Backtesting overfitting article Rate this Topic:
Previous Topic · Next Topic Watch this topic · Print this topic ·
jas0501
Posted : Sunday, April 27, 2014 9:29:40 PM
Registered User
Joined: 12/31/2005
Posts: 2,499
While the literature on regression overfitting is
extensive, we believe that this is the first study
to discuss the issue of overfitting on the subject
of investment simulations (backtests) and its
negative effect...

from   http://www.ams.org/notices/201405/rnoti-p458.pdf

 

Booker
Posted : Tuesday, April 29, 2014 8:10:48 AM
Platinum Customer Platinum Customer

Joined: 10/7/2004
Posts: 426

Interesting read but this has been covered before. I prefer papers from Dr. Howard B. Bandy.

Users browsing this topic
Guest-1

Forum Jump
You cannot post new topics in this forum.
You cannot reply to topics in this forum.
You cannot delete your posts in this forum.
You cannot edit your posts in this forum.
You cannot create polls in this forum.
You cannot vote in polls in this forum.