pbo
Probability of Backtest Overfitting
Following the method of Bailey et al., computes for a collection of candidate models the probability of backtest overfitting, the performance degradation and probability of loss, and the stochastic dominance.
- Version1.3.5
- R versionunknown
- LicenseMIT
- LicenseLICENSE
- Needs compilation?No
- Languageen-US
- Last release05/26/2022
Documentation
Team
Matt Barry
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