Quant Model Selection
How to pick the best trading model
Model selection is a topic I haven’t seen people talk about a lot but is actually really important, especially if you’ve grown and have a lot of metrics, indicators and models to chose from.
In this article we will be talking about different techniques and criteria for model and parameter selection because you don’t want to just take the model with the best fit.
Table of Content
Why not just pick the best model?
Selection Criteria
Forward, Backward and Stepwise Selection
Data Transformation
Final Remarks