Contents

• Backtest Overfit
• Clustering
• Correlation Distance
• Distance Metrics
• Entropy
• Feature Clustering
• Feature Importance
• Feature Selection
• Information Theory
• Kelly Criterion
• Membership Entropy
• Model Optimization
• Monte Carlo
• Mutual Information
• Overfitting
• Regression to the Mean
• Regularization
• Variation of Information

Backtest Overfit

Regression to the mean and the decline of out-of-sample performance • May 25, 2021

Clustering

Feature clustering • Apr 11, 2021

Optimal probabilistic clustering - Part II • Mar 9, 2021

Optimal probabilistic clustering - Part I • Feb 12, 2021

Correlation Distance

Feature clustering • Apr 11, 2021

Metrics for feature distance • Feb 21, 2021

Distance Metrics

Metrics for feature distance • Feb 21, 2021

Entropy

Optimal probabilistic clustering - Part II • Mar 9, 2021

Optimal probabilistic clustering - Part I • Feb 12, 2021

Feature Clustering

Feature clustering • Apr 11, 2021

Feature Importance

Mutual information for feature selection • Feb 6, 2021

Feature Selection

Mutual information for feature selection • Feb 6, 2021

Information Theory

Mutual information for feature selection • Feb 6, 2021

Kelly Criterion

Trading with the Kelly criterion • Feb 7, 2021

Membership Entropy

Optimal probabilistic clustering - Part II • Mar 9, 2021

Optimal probabilistic clustering - Part I • Feb 12, 2021

Model Optimization

Regression to the mean and the decline of out-of-sample performance • May 25, 2021

Monte Carlo

Trading with the Kelly criterion • Feb 7, 2021

Mutual Information

Mutual information for feature selection • Feb 6, 2021

Overfitting

Regression to the mean and the decline of out-of-sample performance • May 25, 2021

Regression to the Mean

Regression to the mean and the decline of out-of-sample performance • May 25, 2021

Regularization

Optimal probabilistic clustering - Part II • Mar 9, 2021

Variation of Information

Metrics for feature distance • Feb 21, 2021