A Bayesian Approach to Measurement of Backtest Overfitting

Quantitative investment strategies are often selected from a broad class of candidate models estimated and tested on historical data. Standard statistical techniques to prevent model overfitting such as out-sample backtesting turn out to be unreliable in situations when the selection is based on res...

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Bibliographic Details
Main Author: Jiří Witzany
Format: Article
Language:English
Published: MDPI AG 2021-01-01
Series:Risks
Subjects:
Online Access:https://www.mdpi.com/2227-9091/9/1/18