htso/PBO: Probability of Backtest Overfitting

Estimate the Probability of Backtest Overfitting according to Bailey, Borwein, Lopez de Prado, Zhu (2016).

Getting started

Package details

AuthorHorace W. Tso
MaintainerHorace W. Tso <[email protected]>
LicenseGPL (>= 2)
Version0.1.0
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("htso/PBO")
htso/PBO documentation built on Sept. 21, 2018, 10:26 p.m.