Research preview

In quantitative trading, a sudden spike in performance that vanishes as soon as you try to trade it is a familiar frustration. The root cause is often a statistical pitfall rather than a market anomaly. This article explains why fitting too many predictors to limited data creates illusory edges and shows how to guard against it. The Illusion of In‑Sample Success When you run a regression or machine‑learning model on historical price data, the algorithm will always find a way to reduce the residual error on the sample it sees....