090: Michael Halls-Moore – This Quants' Approach to Designing Algo Strategies
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How to Optimize Parameters for Quant Trading
One of the hardest aspects of quant finance or concentrating in general is parameter optimization. It's quite easy to convince oneself in backtesting that you've found the world's greatest strategy simply by varying your parameters. But as soon as you put it into practice, it fails completely. The classic statistical mechanism is known as cross validation. That's a key sort of technique in statistics and machine learning to deal with this.
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