Jonathan Borwein

Royal Society of Canada

Fellow

University of Newcastle (Australia)

Laureate Profesor

Australian Academy of Science (deceased)

Fellow

SCHOLARLY PAPERS

9

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Top 21,277

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54

Scholarly Papers (9)

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1.

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, Jonathan Borwein, Marcos Lopez de Prado, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 17,191 (462)
Citation 12

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backtest, historical simulation, probability of backtest over-fitting, investment strategy, optimization, Sharpe ratio, minimum backtest length, 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, Jonathan Borwein, Marcos Lopez de Prado, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 16,896 (473)
Citation 30

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

3.

Evaluation and Ranking of Market Forecasters

Number of pages: 26 Posted: 03 Apr 2017 Last Revised: 22 Jul 2017
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Amir Salehipour, Amir Salehipour, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, University of Technology Sydney (UTS)University of Technology Sydney, Australia and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,468 (4,605)
Citation 1

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Marker forecasters ranking; Guru ranking; Market forecast

4.

Stock Portfolio Design and Backtest Overfitting

Number of pages: 16 Posted: 29 Feb 2016 Last Revised: 20 Jul 2016
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 2,931 (9,111)
Citation 3

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

5.

Backtest Overfitting in Financial Markets

Automated Trader, 2016, Forthcoming
Number of pages: 8 Posted: 15 Feb 2016
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Marcos Lopez de Prado, Marcos Lopez de Prado, Amir Salehipour, Amir Salehipour and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of Technology Sydney (UTS)University of Technology Sydney, Australia and Western Michigan University
Downloads 2,430 (12,283)

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

6.

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, Jonathan Borwein, Amir Salehipour, Amir Salehipour, Marcos Lopez de Prado, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, University of Technology Sydney (UTS)University of Technology Sydney, Australia, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 1,315 (31,844)
Citation 3

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

7.

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, Jonathan Borwein, Marcos Lopez de Prado, Marcos Lopez de Prado and Qiji Jim Zhu
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Western Michigan University
Downloads 1,262 (33,731)
Citation 5

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

8.

Do Financial Gurus Produce Reliable Forecasts?

Number of pages: 20 Posted: 13 Mar 2019
David H. Bailey, Jonathan Borwein, Jonathan Borwein, Amir Salehipour, Amir Salehipour, Marcos Lopez de Prado and Marcos Lopez de Prado
Lawrence Berkeley National Laboratory, University of Newcastle (Australia)Royal Society of Canada, University of Technology Sydney (UTS)University of Technology Sydney, Australia and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,169 (37,623)

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Marker forecasters ranking; Guru ranking; Market forecast

9.

A Variational Approach to Lagrange Multipliers

Number of pages: 37 Posted: 08 Nov 2014
Jonathan Borwein, Jonathan Borwein and Qiji Jim Zhu
University of Newcastle (Australia)Royal Society of Canada and Western Michigan University
Downloads 140 (419,745)

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Lagrange Multiplier, duality, constrained optimization.