131: Morgan Slade – Strategy Development, Powered by Machine Learning
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How to Avoid Curve Fitting in Machine Learning
The power to do machine learning is also the power of a curve fit. You have to be very disciplined about drawing a tight confidence interval around your answer if you don't have enough data supporting it. Every new feature that we feed into the model every new kind of piece of information we feed in whether it's technical indicator or some sort of output from another model. I really want to see like a thousand independent predictions with good statistics out of sample before I'm comfortable that I've got enough out of sample data to know I have a Curve Fit.
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