pbo | R Documentation |
Performs the probability of backtest overfitting computations.
pbo(m, s = 4, f = NA, threshold = 0, inf_sub = 6, allow_parallel = FALSE)
m |
a TxN data frame of returns, where T is the samples per study and N is the number of studies. |
s |
the number of subsets of |
f |
the function to evaluate a study's performance; required |
threshold |
the performance metric threshold (e.g. 0 for Sharpe, 1 for Omega) |
inf_sub |
infinity substitution value for reasonable plotting |
allow_parallel |
whether to enable parallel processing, default FALSE |
This function performs the probability of backtest overfitting calculation using a combinatorially-symmetric cross validation (CSCV) approach.
object of class pbo
containing list of PBO calculation results
and settings
Baily et al., "The Probability of Backtest Overfitting," https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253
## Not run: require(pbo) require(PerformanceAnalytics) n <- 100 t <- 1000 s <- 8 m <- data.frame(matrix(rnorm(n*t,mean=0,sd=1), nrow=t,ncol=n,byrow=TRUE, dimnames=list(1:t,1:n)), check.names=FALSE) p <- pbo(m,s,f=Omega,threshold=1) ## End(Not run)
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