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
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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.
Marker forecasters ranking; Guru ranking; Market forecast
backtest, historical simulation, probability of backtest overfitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation
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