The probability of backtest overfitting
David H. Bailey, Jonathan M. Borwein, Marcos López de Prado and Qiji Jim Zhu
| Year of publication: |
April 2017
|
|---|---|
| Authors: | Bailey, David H. ; Borwein, Jonathan M. ; López de Prado, Marcos M. ; Zhu, Qiji Jim |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016/2017, 4, p. 39-69
|
| Subject: | backtest | overfitting | investment strategy | Sharpe ratio optimization | performance degradation | Portfolio-Management | Portfolio selection | Statistischer Test | Statistical test | Theorie | Theory | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.322 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011691629