Reading Material about overfitting or overoptimization

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

  1. Moptop

    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

    userque

    IMO's:

    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:
    https://www.priceactionlab.com/Blog/2012/06/fooled-by-randomness-through-selection-bias/

    Book Table of Contents:
    https://www.priceactionlab.com/Blog/table-of-contents/
     
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  3. KevinBB

    KevinBB

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  4. maxinger

    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.
    [​IMG]
     
    Last edited: Sep 14, 2021 at 9:41 PM
  5. ph1l

    ph1l

    Here are links to some references that cover overfitting.
    "FAQs on backtest overfitting" https://mathinvestor.org/2014/04/faqs-on-backtest-overfitting/
    "Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance" http://ssrn.com/abstract=2308659
    "Comprehensibility & Overfitting Avoidance in Genetic Programming for Technical Trading Rules" ftp://ftp.cs.wpi.edu/pub/techreports/pdf/03-09.pdf
    "What You See May Not Be What You Get: A Brief, Nontechnical Introduction to Overfitting in Regression-Type Models" https://people.duke.edu/~mababyak/papers/babyakregression.pdf
    "THE PROBABILITY OF BACKTEST OVERFITTING" https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253

    backtest overfitter demonstrator http://datagrid.lbl.gov/backtest/index.php
     
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