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5-Fold Cross-Validation Example

5-Fold Cross-Validation Example

by IanRayner | Dec 13, 2010 | 0 comments

An example of a 5-Fold Cross-Validation study to investigate the robustness of a simple systematic trading strategy.

Cross-Validation: A Way To Avoid Curve-Fitting

Cross-Validation: A Way To Avoid Curve-Fitting

by IanRayner | Dec 11, 2010 | 0 comments

My biggest fear is to be fooled by randomness: curve-fitting is the enemy hidden in plain sight. Cross-validation can be our ally, but there are plenty of challenges to overcome.

Ian Rayner

Ian Rayner, Hedge Fund Consultant.

Hedge fund advisor: Make smarter allocations. Build better portfolios.

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