Strategy backtesting is a mix of art and science. Quants who rely too much on patterns in data will fall victim to curve fitting, while others create theories to fit their models. Here are leading quants’ perspectives on best practice in strategy backtesting. 1. Have a Common Sense Idea of Your Model “If you can’t come up with a common-sense explanation, chances are, you’re data mining,” says Mebane Faber (@mebfaber) at Cambria Funds. When Mebane began in quant trading he Strategy backtesting is a mix of art and science. Quants who rely too much on patterns in data will fall victim to curve fitting, while others create theories to fit their models. Here are leading quants’ perspectives on best practice in strategy backtesting. 1. Have a Common Sense Idea of Your Model “If you can’t come up with a common-sense explanation, chances are, you’re data mining,” says Mebane Faber (@mebfaber) at Cambria Funds. When Mebane began in quant trading he
Strategy backtesting is a mix of art and science. Quants who rely too much on patterns in data will fall victim to curve fitting, while others create theories to fit their models. Here are leading quants’ perspectives on best practice in strategy backtesting. 1. Have a Common Sense Idea of Your Model “If you can’t come up with a common-sense explanation, chances are, you’re data mining,” says Mebane Faber (@mebfaber) at Cambria Funds. When Mebane began in quant trading he
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