Robert Carver on How To Build Successful Trading Strategies
Macro Hive Conversations With Bilal Hafeez
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The Challenge of Overfitting in Systematic Trading
When developing a strategy, you're looking at the back tested returns and it's your natural human instinct to make them look as good as possible. So how can we avoid that? Well, I did say that one definition of back testing is extrapolated from a limited set of data. The slower your trading, the more history of data you're going to need. But cross sectionally my starting assumption is that I should treat everything in exactly the same way - S&P 500 but also corn or crude oil.
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