Mastering Python for Finance - Second Edition

Estimating the quality of backtest parameters

Using a variety of parameters on a model typically gives us varied results. From multiple models, we can obtain additional sets of data for each model. Can the parameters from the model with the best performance be trustworthy? Using methods such as model averaging can help us correct optimistic estimates.

The model-averaging technique is the average fit for a number of models as opposed to using a single best model.