pbo
Probability of Backtest Overfitting
v1.3.5
·
May 26, 2022
·
MIT + file LICENSE
Description
Following the method of Bailey et al., computes for a collection of candidate models the probability of backtest overfitting, the performance degradation and probability of loss, and the stochastic dominance.
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| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
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| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
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| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |