Quantocracy’s Daily Wrap for 11/17/2017

Optimizing the parameters of a trading strategy via backtesting has one major problem: there are typically not enough historical trades to achieve statistical significance. Whatever optimal parameters one found are likely to suffer from data snooping bias, and there may be nothing optimal about them in the out-of-sample period. That's why parameter optimization of trading strategies often

On most mainstream finance websites, a good chunk of the stories discuss the FED and where interest rates are going. Intuitively, this makes sense: The FED is arguably an extremely influential component of U.S. economy. But how do markets respond to the FED? Is the response rational, irrational, or something in between? This is a good question, and one discussed in a working paper which we examine