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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
Marker forecasters ranking; Guru ranking; Market forecast
backtest, historical simulation, probability of backtest overfitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, performance degradation
Backtest overfitting, multiple testing, Sharpe Ratio, Deflated Sharpe Ratio, investment strategy
Lagrange Multiplier, duality, constrained optimization.
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