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Quantitative Finance · शब्दावली

Backtest overfitting, in-sample, out-of-sample क्या है?

अन्य नाम: in-sample · out-of-sample · backtest overfitting

Definition 20.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · अध्याय 20 — Overfitting

In-sample data are those used to build or choose a strategy; out-of-sample data are those it has not seen. Backtest overfitting is the selection of a strategy whose in-sample performance owes more to the particular sample than to a property that persists, so that its out-of-sample performance falls short of what was selected.

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