3 ms·

overfitted backtested models do not predict future very well... anyone surprised?

• thrdbndndn 4y ago
  Yeah, I think you summarized it well. The fact they kinda work for the first few years are mostly just because in real world data don't/can't change that fast. (Disclaimer: I only did ML work in academics, so take it with a grain of salt.)
  • chewz 4y ago
    Well, I have some experience with financial models where they work pretty well in shorter periods (could be months or years). And then there is sudden regime change... Pretty obvious but outside of model's scope...