pbo-package {pbo}

Probability of backtest overfitting.

Description

Computes the probability of backtest overfitting

Details

Implements algorithms for computing the probability of backtest overfitting, performance degradation and probability of loss, and first- and second-order stochastic dominance, based on the approach specified in Bailey et al., September 2013. Provides a collection of pre-configured plots based on lattice graphics.

Author(s)

Matt Barry [e-mail]

References

See Bailey, David H. and Borwein, Jonathan M. and Lopez de Prado, Marcos and Zhu, Qiji Jim, The Probability of Back-Test Overfitting (September 1, 2013). Available at SSRN. See https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253.