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pbo: Probability of Backtest Overfitting
Following the method of Bailey et al., computes for a collection of candidate models the probability of backtest overfitting, the performance degradation and probability of loss, and the stochastic dominance.
Getting started
Browse package contents
Package details |
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| Author | Matt Barry [aut, cre] |
| Maintainer | Matt Barry <mrb@softisms.com> |
| License | MIT + file LICENSE |
| Version | 1.3.5 |
| URL | https://github.com/mrbcuda/pbo |
| Package repository | View on CRAN |
| Installation |
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