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010 - Alan Clement - Fortified & Diversified Quantitative Equities Strategies

The Algorithmic Advantage

CHAPTER

Building and Testing Strategies to Avoid Overfitting

The chapter covers the process of testing and building quantitative equities strategies, emphasizing the importance of avoiding overfitting. They discuss the use of automated systems and backtesting, as well as testing strategies on out-of-sample data and utilizing optimization within ensemble periods. They also touch on the challenges of running a strategy out of sample and using Monte Carlo testing for assessing potential worst-case scenarios.

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