Macro Ops

Chris and Tyler talk about curve fitting and over optimization of trading strategies.  This episode is a lot shorter than normal, we touch on a single subject vs going deep on the markets. If you like it and want more, let us know what you’d like to hear. Also if you want more of the long form, tell us what YOU want! Chris talks about what he looks for in a strategy to consider: Predictability - the ability to predict a trade is forthcoming, not predicting the results.  Repeatable - does this setup repeat over time. Define-able - can you clearly define the parameters. What does over fitting look like in trading setups?  “I just want to be consistent.”  Seeking high win rate systems lead us down the path of over fitting.  Random walk price data and finding setups that you start believing are edges, but end up being curve fit on random price series.  Testing in-sample and out of sample data (training and test data sets). Train model on in-sample data, then test it on the out