https://www.johndcook.com/blog/2011/06/21/how-to-fit-an-elephant/
John von Neumann famously said
With four parameters I can fit an elephant, and with five I can make him wiggle his trunk.
By this he meant that one should not be impressed when a complex model fits a data set well. With enough parameters, you can fit any data set.
It turns out you can literally fit an elephant with four parameters if you allow the parameters to be complex numbers.
vonNeuman_elephant.py
"With four parameters I can fit an elephant,
and with five I can make him wiggle his trunk."
Original Versions:
Author[1]: Piotr A. Zolnierczuk (zolnierczukp at ornl dot gov)
Retrieved on 14 September 2011 from
http://www.johndcook.com/blog/2011/06/21/how-to-fit-an-elephant/
Modified to wiggle trunk:
2 October 2011 by David Bailey (http://www.physics.utoronto.ca/~dbailey)
Author[2]:
Advanced Physics Laboratory
https://www.physics.utoronto.ca/~phy326/python/
Based on the paper:
"Drawing an elephant with four complex parameters", by
Jurgen Mayer, Khaled Khairy, and Jonathon Howard,
Am. J. Phys. 78, 648 (2010), DOI:10.1119/1.3254017
The paper does not specify how the wiggle parameter controls the
trunk, so a guess was made.
Inspired by John von Neumann's famous quote (above) about overfitting data.
Attributed to von Neumann by Enrico Fermi, as quoted by
Freeman Dyson in "A meeting with Enrico Fermi" in
Nature 427 (22 January 2004) p. 297
Python Version: 3.6
Modified based on author[2]'s work
Author: Junjie Hu
Overfiting problem in trading strategy stated:
Bailey, D., Borwein, J., Lopez de Prado, M., & Zhu, Q. (2014).
Pseudo-mathematics and financial charlatanism: The effects of backtest overfitting on out-of-sample performance.
https://github.com/QuantLet/FittingElephant
https://twitter.com/curiouswavefn/status/1124037328308195334
