MONEY GLOBE XBuilding & Testing a Strategy ยท Lesson 3
Overfitting and walk-forward testing
When a strategy only works on the past
Professional - Gold & Platinum
In this lesson
Recognise overfitting and use out-of-sample and walk-forward testing to check that a strategy is robust.
Key takeaways
- Overfitting = fitting noise in past data; it fails on new data.
- Keep an out-of-sample period you use only once, for judging.
- Walk-forward testing repeatedly tunes on the past and tests on the next period.
- Robust strategies work across neighbouring settings (a plateau), not one lucky value.
Watch this lesson with Tessa. The full video, worked example, calculator, quiz and Ask Tessa are part of Money Globe X Gold and Platinum. Create your account to start learning.
Next lesson: Monte Carlo: what could go wrong
Educational information only - not financial advice.
Create your free account
Free lessons, live markets and the Classroom. Founding members get their first year at a founding price - applied automatically at checkout.