학술논문
How "backtest overfitting" in finance leads to false discoveries.
Document Type
Article
Source
Subject
*INVESTMENT policy
*OPTICAL illusions
*TEST design
*
*
Language
ISSN
1740-9705
Abstract
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 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. [ABSTRACT FROM AUTHOR]