pbo: Probability of Backtest Overfitting
Version 1.3.4

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.

Package details

AuthorMatt Barry <[email protected]>
Date of publication2014-05-31 01:49:51
MaintainerMatt Barry <[email protected]>
LicenseMIT + file LICENSE
URL https://github.com/mrbcuda/pbo
Package repositoryView on CRAN
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pbo documentation built on May 29, 2017, 8:41 p.m.