pbo-package: Probability of backtest overfitting.

Description Details Author(s) References

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 [email protected]

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 http://ssrn.com/abstract=2326253 or http://dx.doi.org/10.2139/ssrn.2326253.


pbo documentation built on May 2, 2019, 6:53 a.m.