Overfitting bias has a way of subtly creeping into your analysis, in fact, overfit backtests is one of the biggest issues in quantitative finance. In this notebook we discuss some forms of overfitting and some ways to deal with it.
The lecture will be presented at this meetup. We will be releasing a video lecture as well, watch this thread for a link.
Also in this lecture:
This is part of Quantopian’s Summer Lecture Series. We are currently developing a quant finance curriculum and will be releasing clone-able notebooks and algorithms to teach key concepts. Stay tuned for more. We are also working on a permanent home for all of our notebooks.
Credit for the notebooks goes to Evgenia 'Jenny' Nitishinskaya, and credit for the algorithms goes to David Edwards.