This is a summary of links featured on Quantocracy on Saturday, 12/15/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Modern backtesting with integrity [SR SV]Machine learning offers powerful tools for backtesting trading strategies. However, its computational power and convenience can also be corrosive for financial investment due to its tendency to find temporary patterns while data samples for cross validation are limited. Machine learning produces valid backtests only when applied with sound principles. These should include [1] formulating a logical