Monthly Archives: December 2012

Quantile normalization: a simple trick to reduce overfitting

Posted on December 16, 2012 by mathtrading

To understand whether a strategy is able to perform in the future, the first question to ask is probably whether our strategy really showed great performance in the historic back-test or all it was doing was just describing past data accurately. In … Continue reading →

Posted in On backtesting, Performance Metrics | Tagged , , | 3 Comments