The Importance of Out-of-Sample Tests and Lags in Forecasts and Trading Algorithms — Data Shenanigans


I recently had the opportunity to listen to some great minds in the area of high-frequency data and trading. While I won’t go into the details about what has been said, I wanted to illustrate the importance of proper out-of-sample testing and proper variable lags in potential trade algorithms or arbitrage models that has been […]

via The Importance of Out-of-Sample Tests and Lags in Forecasts and Trading Algorithms — Data Shenanigans

Advertisements