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.

Package details

AuthorMatt Barry <mrb@softisms.com>
MaintainerMatt Barry <mrb@softisms.com>
LicenseMIT + file LICENSE
URL https://github.com/mrbcuda/pbo
Package repositoryView on CRAN
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pbo documentation built on May 2, 2019, 6:53 a.m.