In this short video, Max Margenot gives an overview of selecting features for your model. He goes over the process of adding parameters to your model while avoiding overfitting. He also discusses general tools for evaluating the quality of different features, many contained in packages like scikit-learn, and covers methods of testing the various features in your algorithm.
Explore feature selection on Quantopian: https://www.quantopian.com/lectures/multiple-linear-regression.
Special thanks to Cheng Peng from the Quantopian Community for suggesting this video. Feel free to leave suggestions for any content that you would like to see at https://www.quantopian.com/posts/what-type-of-content-would-you-like-to-see.
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Disclaimer
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
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