Optimization is more than finding the best simulation results. It is itself a complex and evolving field that, subject to certain information constraints, allows data scientists, statisticians, engineers, and traders alike to perform reality checks on modeling results. We will discuss common ideological pitfalls and how to avoid them. We will talk about cross validation and its specific application to time series, and we will use our simulator from Chapter 7 to project trading performance with confidence and validity.
We will discuss the best optimization methods and performance metrics. Our simulator takes ...
