Kovlin Perumal

University of Cape Town (UCT)

3rd Floor, leslie Commerce Building

Engineering Mall, Upper Campus

Cape Town, Western Cape 8000

South Africa

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Scholarly Papers (1)

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Systematic Testing of Systematic Trading Strategies

Number of pages: 24 Posted: 01 Mar 2018 Last Revised: 16 Mar 2018
Kovlin Perumal and Emlyn Flint
University of Cape Town (UCT) and Peresec
Downloads 464 (77,478)

Abstract:

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Data-Mining Bias, Systematic Trading, Backtesting, Multiple Hypothesis Testing, False Discovery Rate, Family-Wise Error Rate, White's Reality Check, Monte Carlo Permutation