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.
|Author||Matt Barry <[email protected]>|
|Date of publication||2014-05-31 01:49:51|
|Maintainer||Matt Barry <[email protected]>|
|License||MIT + file LICENSE|
|Package repository||View on CRAN|
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