Backtest Overfitting in the Machine Learning Era a Comparison of Out-of-Sample Testing Methods in a Synthetic Controlled Environment-Reference-Cited by-同舟云学术

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Backtest Overfitting in the Machine Learning Era a Comparison of Out-of-Sample Testing Methods in a Synthetic Controlled Environment

Published:2024 Issue: Volume: Page:
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Author:

Arian Hamid R.,Norouzi Mobarekeh Daniel,Seco Luis

Publisher

Elsevier BV

Reference28 articles.

1. The sharpe ratio efficient frontier;H David;Journal of Risk,2012

2. The deflated sharpe ratio: Correcting for selection bias, backtest overfitting and nonnormality;H David;Journal of Portfolio Management,2014

3. Pseudomathematics and financial charlatanism: The effects of backtest over fitting on out-of-sample performance;Jonathan M David H Bailey;Notices of the AMS,2014

4. The probability of backtest overfitting;H David;Journal of Computational Finance,2016

5. Dc neural networks avoid overfitting in one-dimensional nonlinear regression;Cesar Beltran-Royo;Knowledge-Based Systems,2024

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