Jonathan M. Borwein

University of Newcastle (Australia)

Laureate Profesor

University Drive

Callaghan, NSW 2308

Australia

http://www.carma.newcastle.edu.au/jon

Royal Society of Canada

Fellow

282 Somerset West

Ottawa, Ontario K2P 0J6

Canada

Australian Academy of Science

Fellow

Ian Potter House

Gordon Street

Acton, ACT 2601

Australia

SCHOLARLY PAPERS

8

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Top 1,028

in Total Papers Downloads

21,085

CITATIONS

1

Scholarly Papers (8)

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
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 7,231 (592)

Abstract:

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
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 0
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Abstract:

backtest, overfitting, investment strategy, Sharpe ratio optimization, performance degradation

2.

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
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 6,523 (372)
Citation 1

Abstract:

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

3.

Online Tools for Demonstration of Backtest Overfitting

Number of pages: 13 Posted: 23 Apr 2015 Last Revised: 01 Dec 2015
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Newcastle, Australia, Guggenheim Partners, LLC and Western Michigan University
Downloads 311 (39,282)

Abstract:

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

4.

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
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 170 (53,552)

Abstract:

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

5.

A Variational Approach to Lagrange Multipliers

Number of pages: 37 Posted: 08 Nov 2014
Jonathan M. Borwein and Qiji Jim Zhu
University of Newcastle (Australia) and Western Michigan University
Downloads 25 (339,120)

Abstract:

Lagrange Multiplier, duality, constrained optimization.

6.

Evaluation and Ranking of Market Forecasters

Number of pages: 26 Posted: 03 Apr 2017 Last Revised: 22 Jul 2017
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), University of Newcastle, Australia and Guggenheim Partners, LLC
Downloads 0 (16,490)

Abstract:

Marker forecasters ranking; Guru ranking; Market forecast

7.

Stock Portfolio Design and Backtest Overfitting

Number of pages: 16 Posted: 29 Feb 2016 Last Revised: 20 Jul 2016
David H. Bailey, Jonathan M. Borwein and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia) and Guggenheim Partners, LLC
Downloads 0 (9,508)

Abstract:

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

8.

Backtest Overfitting in Financial Markets

Automated Trader, 2016, Forthcoming
Number of pages: 8 Posted: 15 Feb 2016
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC, University of Newcastle, Australia and Western Michigan University
Downloads 0 (19,812)

Abstract:

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