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.

Author
Matt Barry <mrb@softisms.com>
Date of publication
2014-05-31 01:49:51
Maintainer
Matt Barry <mrb@softisms.com>
License
MIT + file LICENSE
Version
1.3.4
URLs

View on CRAN

Man pages

dotplot.pbo
PBO in-sample selection dot plot.
histogram.pbo
PBO rank logits histogram.
pbo
Probability of backtest overfitting
pbo-package
Probability of backtest overfitting.
pbo_show_config
Writes grid text to a default predetermined location.
xyplot.pbo
PBO xy-plots

Files in this package

pbo
pbo/inst
pbo/inst/doc
pbo/inst/doc/pbo.R
pbo/inst/doc/pbo.html
pbo/inst/doc/pbo.Rmd
pbo/tests
pbo/tests/test_pbo_function.R
pbo/tests/test_pbo_threshold.R
pbo/tests/test_pbo_parallel.R
pbo/NAMESPACE
pbo/R
pbo/R/summary.pbo.R
pbo/R/pbo.R
pbo/R/lattice.pbo.R
pbo/R/pbo-package.R
pbo/vignettes
pbo/vignettes/pbo.Rmd
pbo/README.md
pbo/MD5
pbo/build
pbo/build/vignette.rds
pbo/DESCRIPTION
pbo/man
pbo/man/pbo-package.Rd
pbo/man/figures
pbo/man/figures/perf14.png
pbo/man/figures/plot44.png
pbo/man/figures/full2.png
pbo/man/figures/high7.png
pbo/man/figures/high3.png
pbo/man/figures/high1.png
pbo/man/figures/large_high5.png
pbo/man/figures/full3.png
pbo/man/figures/low3.png
pbo/man/figures/high4.png
pbo/man/figures/high6.png
pbo/man/figures/full6.png
pbo/man/figures/large_high1.png
pbo/man/figures/low7.png
pbo/man/figures/plot42.png
pbo/man/figures/plot46.png
pbo/man/figures/low5.png
pbo/man/figures/plot43.png
pbo/man/figures/perf12.png
pbo/man/figures/low6.png
pbo/man/figures/full4.png
pbo/man/figures/perf24.png
pbo/man/figures/high2.png
pbo/man/figures/large_high3.png
pbo/man/figures/plot45.png
pbo/man/figures/perf21.png
pbo/man/figures/low4.png
pbo/man/figures/perf23.png
pbo/man/figures/perf22.png
pbo/man/figures/full5.png
pbo/man/figures/large_high4.png
pbo/man/figures/perf11.png
pbo/man/figures/plot47.png
pbo/man/figures/low1.png
pbo/man/figures/high5.png
pbo/man/figures/large_high6.png
pbo/man/figures/large_high2.png
pbo/man/figures/plot41.png
pbo/man/figures/large_high7.png
pbo/man/figures/perf13.png
pbo/man/figures/low2.png
pbo/man/figures/full1.png
pbo/man/dotplot.pbo.Rd
pbo/man/histogram.pbo.Rd
pbo/man/pbo.Rd
pbo/man/xyplot.pbo.Rd
pbo/man/pbo_show_config.Rd
pbo/LICENSE