5-Fold Cross-Validation Example
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
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
Hedge fund advisor: Make smarter allocations. Build better portfolios.