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Jonathan 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

  • University of Newcastle (Australia)

    • Email
    • Tel: +61 2 4921 5535

  • Royal Society of Canada

  • Australian Academy of Science

SCHOLARLY PAPERS

8

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24,187

CITATIONS

1

Scholarly Papers (8)

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1.

The Probability of Backtest Overfitting

Downloads 8,214 ( 529)

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), Lawrence Berkeley National Laboratory and Western Michigan University
Downloads 8,214 (523)

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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), Lawrence Berkeley National Laboratory and Western Michigan University
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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
David H. Bailey, Jonathan Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Lawrence Berkeley National Laboratory and Western Michigan University
Downloads 6,523 (361)
Citation 1

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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
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, Lawrence Berkeley National Laboratory and Western Michigan University
Downloads 311 (35,847)

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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
David H. Bailey, Jonathan Borwein, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Lawrence Berkeley National Laboratory and Western Michigan University
Downloads 170 (45,725)

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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 Borwein and Qiji Jim Zhu
University of Newcastle (Australia) and Western Michigan University
Downloads 25 (352,901)

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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
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 Lawrence Berkeley National Laboratory
Downloads 0 (8,355)

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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 Borwein and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia) and Lawrence Berkeley National Laboratory
Downloads 0 (8,439)

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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
David H. Bailey, Jonathan Borwein, Marcos Lopez de Prado, Amir Salehipour and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Lawrence Berkeley National Laboratory, University of Technology Sydney, Australia and Western Michigan University
Downloads 0 (13,835)

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