pbo-package | R Documentation |

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.

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