Construct · 1 fields · 1 citations

backtest overfitting: a standalone construct

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Financial economics

selecting an investment strategy from many backtested variants so that its historical performance overstates how it will do out of sample.

In financial economics, backtest overfitting refers to selecting an investment strategy from many backtested variants so that its historical performance overstates how it will do out of sample. This meaning comes from Bailey (2014) in Notices of the American Mathematical Society.[1]

Unit
Recovery means
Measured by

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Nearby constructs

investment2 fields · 2 citationsjingle · one word, two constructs overfitting1 fields · 1 citationsanchor · one construct, one field performance6 fields · 8 citationsjingle · one word, five performances

References

Bailey, D. H., Borwein, J. M., López de Prado, M., & Zhu, Q. J. (2014). Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance. Notices of the American Mathematical Society, 61(5), 458. https://doi.org/10.1090/noti1105

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