CoachIn-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.
Quantitative Finance · Glossaire
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Aussi appelé : in-sample · out-of-sample · backtest overfitting