pbo-package: Probability of backtest overfitting.

pbo-packageR Documentation

Probability of backtest overfitting.


Computes the probability of backtest overfitting


Implements algorithms for computing the probability of backtest overfitting, performance degradation and probability of loss, and first- and second-order stochastic dominance, based on the approach specified in Bailey et al., September 2013. Provides a collection of pre-configured plots based on lattice graphics.


Matt Barry mrb@softisms.com


See Bailey, David H. and Borwein, Jonathan M. and Lopez de Prado, Marcos and Zhu, Qiji Jim, The Probability of Back-Test Overfitting (September 1, 2013). Available at SSRN. See https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253.

pbo documentation built on May 28, 2022, 1:06 a.m.