Backtesting is one of the most widely used tools in systematic trading, and one of the most widely misunderstood. Access to decades of historical data creates a powerful temptation: the belief that a strategy which worked in the past...
Every trading model makes implicit claims about the structure of price data. It claims that certain patterns are signals worth responding to, that others are noise worth ignoring, and that the rules built to exploit the former will continue...
Today Niels and I discuss the quantitative traders curse. Overfitting. We explore this negative symptom that arises when models are trained using price data and look at some measures we use that help reduce this tendency. 231 Systematic Investor...
