When Love is Blind: Making Sense of In-Sample overfitting; when Backtesting Strategies you Adore
Online
Wednesday 2nd December 2020
6:00pm - 7:30pm
This event took place on 2nd December 2020, so you won't be able to enquire. They may run the event again in the future. Contact the member by visiting their profile using the 'Member Profile' link above.
In-sample overfitting is a drawback of any backtest-based investment strategy. It is thus of paramount importance to have an understanding of why and how the in-sample overfitting occurs. In this talk we propose a simple framework that allows one to model and quantify in-sample PnL overfitting. This allows us to compute the factor appropriate for discounting PnLs of in-sample investment strategies.
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