A bayesian approach to measurement of backtest overfitting
Year of publication: |
2021
|
---|---|
Authors: | Witzany, Jiří |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 9.2021, 1, p. 1-22
|
Publisher: |
Basel : MDPI |
Subject: | backtest overfitting | investment strategy | MCMC | multiple testing |
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A bayesian approach to measurement of backtest overfitting
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