pbo: Probability of backtest overfitting In pbo: Probability of Backtest Overfitting

Description

Performs the probability of backtest overfitting computations.

Usage

 ```1 2``` ```pbo(m, s = 4, f = NA, threshold = 0, inf_sub = 6, allow_parallel = FALSE) ```

Arguments

 `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 `m` for CSCV combinations; must evenly divide `m` `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

Details

This function performs the probability of backtest overfitting calculation using a combinatorially-symmetric cross validation (CSCV) approach.

Value

object of class `pbo` containing list of PBO calculation results and settings

References

Baily et al., "The Probability of Backtest Overfitting," http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253

Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13``` ```## 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) ```

Example output

```Loading required package: lattice

Attaching package: 'zoo'

The following objects are masked from 'package:base':

as.Date, as.Date.numeric

Attaching package: 'PerformanceAnalytics'

The following object is masked from 'package:graphics':

legend
```

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