Backtest Best Practices 股票回测的最佳实践

Use cross-validation to achieve just the right amount of model complexity.使用交叉验证来实现适当数量的模型复杂性。 Always keep an out-of-sample test dataset. You should only look at the results of a test on this dataset once all model decisions have been made. If you let the results of this test influence decisions made about the model, you no longer have…

Cross Validation for Time Series 时间序列数据的交叉验证

Methods for choosing training, testing and validation sets for time-series data work a little differently than the methods described so far. The main reasons we cannot use the previously described methods exactly as described are,选择时间序列数据的训练,测试和验证集的方法与到目前为止描述的方法稍有不同。我们无法完全按照上述说明使用前述方法的主要原因是: We want our validation and testing procedure to mimic the way our model would work in production. In production, it’s…