Skip directly to content

When Love is Blind: Making Sense of In-Sample overfitting, when Backtesting Strategies you Adore

Speaker: Adam Rej

CQF Institute is proud to bring you a free online talk with Adam Rej on Making Sense of In Sample Overfitting.

This event can earn you upto 2 CPD credits.

Abstract

In-sample overfitting is a drawback of any backtest-based investment strategy. It is thus of paramount importance to have an understanding of why and how the in-sample overfitting occurs. In this talk, we propose a simple framework that allows one to model and quantify in-sample PnL overfitting. This allows us to compute the factor appropriate for discounting PnLs of in-sample investment strategies.

Speaker's Bio

Adam Rej is an Executive Director at Capital Fund Management. He completed his PhD at Max Planck Institute for Gravitational Physics in Potsdam and he held postdoctoral positions at Imperial College London, Institute for Advanced Study in Princeton, and École Normal Supérieure in Paris. He joined CFM in 2014 and focuses on systematic global macro research.