Reading Material about overfitting or overoptimization

Discussion in 'Automated Trading' started by Moptop, Sep 14, 2021 at 5:16 PM.

  1. Moptop


    Does anyone have any recommended books or articles to learn more about overfitting and overoptimization? I know what they are, I know I'm not supposed to do it, but...I feel like something with me just isn't clicking. I'm doing less and less optimization, but I feel like there is a fine line between what works and what looks good on past data.
  2. userque



    Beyond the basics, it becomes more of an art form.

    Those who know, probably learned more through experimentation, than what is presented in books--as many things may be case-specific.

    Ask questions here. The more specific and detailed the question; the more specific and detailed the answer.

    Meanwhile, this author wrote the linked blog article and book. Chapter 6 of the book would likely be useful to you, though I haven't read it, and am only judging by the table of contents, and the author's previous writings.

    Blog article:

    Book Table of Contents:
    swinging tick likes this.
  3. KevinBB


    swinging tick likes this.
  4. maxinger


    This automation problem is similar to those who use indicators.
    There is no such thing as one-size-fits-all.

    Similarly, there are people who only use big time frame chart for
    entry thinking that a small time frame chart is noisy / risky / chaotic.

    my point is being able to adapt to various market conditions is very important.
    Last edited: Sep 14, 2021 at 9:41 PM
  5. ph1l


    Here are links to some references that cover overfitting.
    "FAQs on backtest overfitting"
    "Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance"
    "Comprehensibility & Overfitting Avoidance in Genetic Programming for Technical Trading Rules"
    "What You See May Not Be What You Get: A Brief, Nontechnical Introduction to Overfitting in Regression-Type Models"

    backtest overfitter demonstrator
    swinging tick likes this.