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Finance / Overfitting / Statistical inference / Backtesting / Financial risk / Value at risk / Sharpe ratio / Automated trading system / Statistics / Machine learning / Regression analysis


HOW TO SPOT BACKTEST OVERFITTING David H. Bailey Lawrence Berkeley National Lab (retired), and University of California, Davis Marcos López de Prado
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Document Date: 2014-03-26 11:18:40

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Davis Marcos López de Prado Guggenheim Partners LLC / /

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University of Newcastle / University of California / Western Michigan University / /

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tech mathematical finance algorithms / /

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Fermi / /

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Western Michigan University / University of California / Davis / University of Newcastle / TO SPOT BACKTEST OVERFITTING David H. Bailey Lawrence Berkeley National Lab / /

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Jonathan M. Borwein / Jim Zhu / Enrico Fermi / Johnny von Neumann / /

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researcher / /

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California / /

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Western Michigan / /

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high-tech mathematical finance algorithms / simulation / /

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