Tag Archives: Underfitting

Feature selection in trading algorithms

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

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Underfitting, misfitting and understanding alpha’s drivers

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