pbo-package: Probability of backtest overfitting.
In pbo: Probability of Backtest Overfitting
pbo-package R Documentation
Probability of backtest overfitting.
Description
Computes the probability of backtest overfitting
Details
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.
Author(s)
Matt Barry mrb@softisms.com
References
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.
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| pbo-package | R Documentation |
Probability of backtest overfitting.
Description
Computes the probability of backtest overfitting
Details
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.
Author(s)
Matt Barry mrb@softisms.com
References
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.
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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