Overfitting
3 stories tagged Overfitting on Learning Fanatic.
- Lesson 4.3: Walk-forward and out-of-sample testing Learn walk-forward testing: rolling and anchored windows, purging and embargo for overlapping labels, combinatorial splits, and how to read out-of-sample decay.
- Lesson 3.4: Avoiding overfitting: multiple testing and data snooping Learn why the best of many backtests is usually luck: overfitting, multiple testing, the best Sharpe ratio chance gives, parameter plateaus and a clean holdout.
- Lesson 4.4: Overfitting, ridge and lasso, and the bias-variance trade-off Learn why a model that fits the training data perfectly fails on new data, how bias and variance trade off, and how ridge and lasso shrink coefficients.