How 'Backtest Overfitting' in Finance Leads to False Discoveries
| Autor: | David H. Bailey, Marcos Lopez de Prado |
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| Rok vydání: | 2021 |
| Předmět: | |
| Zdroj: | Significance. 18:22-25 |
| ISSN: | 1740-9713 1740-9705 |
| DOI: | 10.1111/1740-9713.01588 |
| Popis: | Financial investment strategies are often designed and tested using historical market data. But this can frequently give rise to “optimal” strategies that are statistical mirages and perform poorly out in the real world, as David H. Bailey and Marcos López de Prado explain |
| Databáze: | OpenAIRE |
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