Correctness of backtest engines
نویسندگان
چکیده
منابع مشابه
The Probability of Backtest Overfitting
Many investment firms and portfolio managers rely on backtests (i.e., simulations of performance based on historical market data) to select investment strategies and allocate capital. Standard statistical techniques designed to prevent regression overfitting, such as holdout, tend to be unreliable and inaccurate in the context of investment backtests. We propose a general framework to assess th...
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ژورنال
عنوان ژورنال: The Journal of Investment Strategies
سال: 2017
ISSN: 2047-1238
DOI: 10.21314/jois.2017.085