How “backtest overfitting” in finance leads to false discoveries
Financial investment strategies are often designed and tested using historical market data. But this can frequently give rise to “optimal” strategies that are statistical mirages and perform poorly out in the real world, asDavid H. Bailey andMarcos L ópez de Prado explain
Source: Significance - Category: Statistics Authors: David H. Bailey,
Marcos L ópez de Prado Tags: Features Source Type: research
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