April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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Data mine your results
From running over several iterations of backtests, the results represent a source of information about your model. Running your model in real-time conditions produces another source of results. By data mining all this wealth of information, we can obtain a data-driven result that can avoid tailoring the model specifications to the sample data. It is recommended to use shrinkage estimators or model averaging when reporting the results.