This is a summary of links featured on Quantocracy on Tuesday, 06/28/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Backtesting Based on Multiple Signals – Beware of Overfitting [Alpha Architect]One of the dangers of being a quantitative investor is that when you see patterns in historical data you might wrongly assume they will repeat. Put another way, you might believe an effect is driven by a genuine relationship, when in reality the results are spurious and the result of luck. We wrote here about "anomaly chasing" and the risks of data mining in backtests. A responsible
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Loading Data with Pandas [Quintuitive]On at least a couple of occasions lately, I realized that I may need Python in the near future. While I have amassed some limited experience with the language over the years, I never spent the time to understand Pandas, its de-facto standard data-frame library. Where does one start? For me its usually with the data. Simple stuff, loading, wrangling, etc. Re-writing my little R6 helper class to