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
Matt Barry [email protected]
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 http://ssrn.com/abstract=2326253 or http://dx.doi.org/10.2139/ssrn.2326253.
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