Backtest Overfitting: the Movies
March 3, 2016 - Big Ideas
How easy is overfitting of investment strategy parameters and how much does overfitting inflate expectations? In their February 2016 paper entitled “Backtest Overfitting in Financial Markets”, David Bailey, Jonathan Borwein, Marcos Lopez de Prado, Amir Salehipour and Qiji Zhu introduce two online backtest overfitting tools: Backtest Overfitting Demonstration Tool – BODT simulates the overfitting of seasonal strategies (typical of… Keep Reading