This chapter contrasts the three primary methods for backtesting a quantitative strategy.
Research Topics:
- This chapter explains why most backtested strategies in finance are false discoveries.
- This chapter explores the use of entropy as a feature for machine learning in finance.
- This chapter explores how to derive predictive features from market microstructure data (like FIX messages).
- This chapter tackles the problem of optimal clustering, which is a form of unsupervised learning.