David H. Bailey

Lawrence Berkeley National Laboratory

Retired

1 Cyclotron Road

Berkeley, CA 94720

United States

http://www.davidhbailey.com

University of California, Davis

Research Associate

One Shields Avenue

Davis, CA 95616

United States

http://www.davidhbailey.com

  • Lawrence Berkeley National Laboratory

  • University of California, Davis

SCHOLARLY PAPERS

17

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CITATIONS
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Top 6,903

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81

Scholarly Papers (17)

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1.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
David H. Bailey, Jonathan Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 11,556 (316)
Citation 22

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

2.

The Probability of Backtest Overfitting

Downloads 9,987 ( 433)
Citation 12

The Probability of Backtest Overfitting

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34 Posted: 16 Sep 2013 Last Revised: 05 Jul 2015
David H. Bailey, Jonathan Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 9,987 (428)
Citation 5

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

The Probability of Backtest Overfitting

Journal of Computational Finance, Forthcoming
Number of pages: 31 Posted: 21 Sep 2016
David H. Bailey, Jonathan Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
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Citation 2
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backtest, overfitting, investment strategy, Sharpe ratio optimization, performance degradation

3.

The Sharpe Ratio Efficient Frontier

Journal of Risk, Vol. 15, No. 2, Winter 2012/13
Number of pages: 36 Posted: 24 Apr 2011 Last Revised: 23 Apr 2014
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 8,307 (615)
Citation 34

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Sharpe ratio, Efficient frontier, IID, Normal distribution, Skewness, Excess kurtosis, Track record

4.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 4,479 (1,793)
Citation 3

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portfolio selection, quadratic programming, portfolio optimization, constrained efficient frontier, turning point, Kuhn-Tucker conditions, risk aversion

5.

The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality

Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue)
Number of pages: 22 Posted: 21 May 2019 Last Revised: 30 May 2019
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 3,950 (2,235)
Citation 17

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Sharpe ratio, Non-Normality, Probabilistic Sharpe ratio, Backtest overfitting, Minimum Track Record Length, Minimum Backtest Length

6.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 3,122 (3,354)
Citation 4

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Trading baskets, hedging baskets, equal risk contribution, maximum diversification, subset correlation

7.

Evaluation and Ranking of Market Forecasters

Number of pages: 26 Posted: 03 Apr 2017 Last Revised: 22 Jul 2017
David H. Bailey, Jonathan Borwein, Amir Salehipour and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Technology Sydney, Australia and Cornell University - Operations Research & Industrial Engineering
Downloads 2,599 (4,568)
Citation 1

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Marker forecasters ranking; Guru ranking; Market forecast

8.

Stop-Outs Under Serial Correlation and 'The Triple Penance Rule'

Journal of Risk, 2014
Number of pages: 35 Posted: 16 Jan 2013 Last Revised: 10 Jun 2016
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 2,398 (5,215)
Citation 4

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Downside, time under water, stop-out, triple penance, serial correlation, Sharpe ratio

9.

The Strategy Approval Decision: A Sharpe Ratio Indifference Curve Approach

Algorithmic Finance, (2013) 2:1, 99-109
Number of pages: 12 Posted: 15 Feb 2012 Last Revised: 20 Jan 2014
David H. Bailey, Marcos Lopez de Prado and Eva del Pozo
Lawrence Berkeley National Laboratory, Cornell University - Operations Research & Industrial Engineering and Universidad Complutense de Madrid (UCM)
Downloads 2,369 (5,328)

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Portfolio theory, Sharpe ratio, pairwise correlation, indifference curve, diversification

10.

Stock Portfolio Design and Backtest Overfitting

Number of pages: 16 Posted: 29 Feb 2016 Last Revised: 20 Jul 2016
David H. Bailey, Jonathan Borwein and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia) and Cornell University - Operations Research & Industrial Engineering
Downloads 1,959 (7,360)

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backtest, historical simulation, probability of backtest overfitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

11.

Backtest Overfitting in Financial Markets

Automated Trader, 2016, Forthcoming
Number of pages: 8 Posted: 15 Feb 2016
David H. Bailey, Jonathan Borwein, Marcos Lopez de Prado, Amir Salehipour and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering, University of Technology Sydney, Australia and Western Michigan University
Downloads 1,596 (10,325)
Citation 1

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

12.

Statistical Overfitting and Backtest Performance

"Risk-Based and Factor Investing", Quantitative Finance Elsevier, 2015 (Forthcoming).
Number of pages: 10 Posted: 09 Oct 2014 Last Revised: 05 Jul 2015
David H. Bailey, Stephanie Ger, Marcos Lopez de Prado, Alexander Sim and Kesheng Wu
Lawrence Berkeley National Laboratory, Northwestern University - Department of Engineering Sciences and Applied Mathematics, Cornell University - Operations Research & Industrial Engineering, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,237 (15,485)
Citation 1

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backtest, historical simulation, backtest over-fitting, investment strategy, optimization, Sharpe ratio, performance degradation

13.

Online Tools for Demonstration of Backtest Overfitting

Number of pages: 13 Posted: 23 Apr 2015 Last Revised: 01 Dec 2015
David H. Bailey, Jonathan Borwein, Amir Salehipour, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Technology Sydney, Australia, Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 780 (30,396)
Citation 4

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Backtest overfitting, multiple testing, Sharpe Ratio, Deflated Sharpe Ratio, investment strategy

14.

Mathematical Appendices to: 'The Probability of Backtest Overfitting'

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 8 Posted: 23 Feb 2015 Last Revised: 05 Jul 2015
David H. Bailey, Jonathan Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 688 (36,107)
Citation 1

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation

15.

The False Strategy Theorem: A Financial Application of Experimental Mathematics

American Mathematical Monthly, forthcoming
Number of pages: 7 Posted: 03 Aug 2018 Last Revised: 23 Aug 2018
Marcos Lopez de Prado and David H. Bailey
Cornell University - Operations Research & Industrial Engineering and Lawrence Berkeley National Laboratory
Downloads 464 (60,058)

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Selection bias, multiple testing, False Strategy theorem, experimental mathematics

16.

Mathematical Appendices to: 'Stop-Outs Under Serial Correlation'

Journal of Risk, 2014, Forthcoming
Number of pages: 13 Posted: 20 Oct 2014
David H. Bailey and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 385 (75,169)

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Downside, time under water, stop-out, triple penance, serial correlation, Sharpe ratio

17.

Do Financial Gurus Produce Reliable Forecasts?

Number of pages: 20 Posted: 13 Mar 2019
David H. Bailey, Jonathan Borwein, Amir Salehipour and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Technology Sydney, Australia and Cornell University - Operations Research & Industrial Engineering
Downloads 191 (156,509)

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Marker forecasters ranking; Guru ranking; Market forecast