Tag Archives: Underfitting

Feature selection in trading algorithms

Posted on January 16, 2014 by mathtrading

Lately I have been looking for a more systematic way to get around overfitting and in my quest I found it useful to borrow some techniques from the Machine Learning field. If you think about it, a trading algorithm is … Continue reading →

Posted in On backtesting, Trading Strategies Design | Tagged , , , , | 14 Comments

Underfitting, misfitting and understanding alpha’s drivers

Posted on September 22, 2013 by mathtrading

While overfitting is certainly a challenge, falling for the opposite extreme is also a possibility. Reporting part of an interview of William Echkardt from Futures magazine (which I would recommend to read in full from here): “I can talk a little … Continue reading →

Posted in On backtesting, Trading Strategies Design | Tagged , , , , , | 1 Comment