026: Systematic trader Robert Carver discusses trading rules, what makes a good trading rule and the advantages of using continuous rather than binary rules. He also shares insights into over-fitting and the challenges of walk-forward testing that can mak
Better System Trader
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How to Avoid Overfitting Trading Rules
A very easy way to avoid fitting is to do no fitting at all. I'm wary that people who are less experienced might be using some kind of fitting technique. It's sometimes if it's the more complicated the inside of the black box is the hardest to know whether the blackbox is really doing the right thing or not. If you buy an off the shelf package and it has some amazing fitting technology inside it and you don't really understand what it's doing, then that's potentially a dangerous situation.
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