Overfitting: What is it and what can we do about it

First, happy reconstitution day! It is often the heaviest trading volume day of the year and this year it’s happening today. Get ready for a wild ride this afternoon. Click here to read more about what reconstitution is and how it impacts trading.

Second, there’s a mechanical elephant in the room and it’s called “overfitting”.

We aren’t programmers, stat…