CRAN/E | pbo

pbo

Probability of Backtest Overfitting

Installation

About

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.

github.com/mrbcuda/pbo
Bug report File report

Key Metrics

Version 1.3.5
R ≥ 4.0.0
Published 2022-05-26 700 days ago
Needs compilation? no
License MIT
License File
CRAN checks pbo results
Language en-US

Downloads

Yesterday 21 +250%
Last 7 days 70 +67%
Last 30 days 208 -24%
Last 90 days 701 -15%
Last 365 days 2.827 -33%

Maintainer

Maintainer

Matt Barry

mrb@softisms.com

Authors

Matt Barry

aut / cre

Material

README
NEWS
Reference manual
Package source

In Views

Finance

Vignettes

Using the PBO package

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

pbo archive

Depends

R ≥ 4.0.0

Imports

utils ≥ 4.1.2
lattice ≥ 0.20.45
latticeExtra ≥0.6.29
foreach ≥ 1.5.2

Suggests

PerformanceAnalytics
grid
testthat
doParallel
parallel
knitr
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