Chapter 20: Strategy Synthesis

Holdout Decay and Failure-Mode Diagnosis intermediate

"Does academic research destroy stock return predictability?" -- McLean and Pontiff (2016)

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References

Why Is Systematic Investing Important?

Campbell R. Harvey (2021) — SSRN Electronic Journal

Backtesting

Marcos Lopez de Prado (2015)

Three Quant Lessons from COVID-19

Alex Lipton, Marcos Lopez de Prado (2020)

The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality

David H. Bailey, Marcos Lopez de Prado (2014)

Does Academic Research Destroy Stock Return Predictability?

R. David McLean, Jeffrey Pontiff (2016) — Journal of Finance

...and the Cross-Section of Expected Returns

Campbell R. Harvey, Yan Liu, Heqing Zhu (2016) — Review of Financial Studies

Alice's Adventures in Factorland: Three Blunders That Plague Factor Investing

Robert D. Arnott, Campbell R. Harvey, Vitali Kalesnik, Juhani T. Linnainmaa (2019) — Journal of Portfolio Management

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