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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| Format: | Article |
| Language: | English |
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MDPI AG
2021-01-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/9/1/18 |