Stephanie Ger

Northwestern University - Department of Engineering Sciences and Applied Mathematics

Northwestern University

2145 Sheridan Road, Room M426

Evanston, IL 60208-3125

United States

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Statistical Overfitting and Backtest Performance

"Risk-Based and Factor Investing", Quantitative Finance Elsevier, 2015 (Forthcoming).
Number of pages: 10 Posted: 09 Oct 2014 Last Revised: 05 Jul 2015
Lawrence Berkeley National Laboratory, Northwestern University - Department of Engineering Sciences and Applied Mathematics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab) and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
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Abstract:

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backtest, historical simulation, backtest over-fitting, investment strategy, optimization, Sharpe ratio, performance degradation