Statistics

Overfitting

Fitting noise rather than signal, producing excellent in-sample performance and poor out-of-sample results.

The symptom is a large gap between in-sample and out-of-sample performance.

Why finance is especially vulnerable. The signal-to-noise ratio in returns is very low, so a flexible model has abundant noise to fit. This is why linear models remain competitive in quant research long after being abandoned elsewhere.

The subtle form. Even with a holdout set, repeatedly checking it and adjusting turns it into training data. Overfitting through researcher decisions is harder to see and more common than overfitting through parameters.

Fixes: regularisation, fewer features, walk-forward validation, and honesty about how many variants were tried.

Full guide

The Bias-Variance Trade-off

Why the best model is not the one that fits your data best, and how the decomposition guides model choice.

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