Callaghan, NSW 2308
282 Somerset West
Ottawa, Ontario K2P 0J6
Ian Potter House
Acton, ACT 2601
University of Newcastle (Australia)
Royal Society of Canada
Australian Academy of Science
in Total Papers Downloads
backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation
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backtest, overfitting, investment strategy, Sharpe ratio optimization, performance degradation
Backtest overfitting, multiple testing, Sharpe Ratio, Deflated Sharpe Ratio, investment strategy
Lagrange Multiplier, duality, constrained optimization.
backtest, historical simulation, probability of backtest overfitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation
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