When Love is Blind: Making Sense of In-Sample overfitting; when Backtesting Strategies you Adore
02 Dec 2020
About the event
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.
Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and conduct. Fitch Learning is a global leader in training with experience of delivering specialised technical training at all levels to the financial community. Fitch Learning partner with clients to elevate knowledge and skills and enhance conduct.
We work with 9 out of 10 of each of the largest Investment Banks, Asset Managers and Global Banks and through state-of-the-art training centres in London, New York, Hong Kong, Singapore and Dubai, and our leading distance learning portals, we train more than 20,000 delegates each year.
