Registered User
Joined: 12/31/2005
Posts: 2,499
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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
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Registered User
Joined: 10/7/2004
Posts: 426
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Interesting read but this has been covered before. I prefer papers from Dr. Howard B. Bandy.
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