Chapter 7: Defining the Learning Task
Multiple Testing in Factor Research: The Search Tax on Discovery intermediate
Every variant you try without recording it borrows from the credibility of the winner. The statistical correction is straightforward; the organizational discipline of tracking what you searched is harder and more important.
Every variant you try without recording it borrows from the credibility of the winner. The statistical correction is straightforward; the organizational discipline of tracking what you searched is harder and more important.
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References
The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality
David H. Bailey, Marcos Lopez de Prado
(2014)
...and the Cross-Section of Expected Returns
Campbell R. Harvey, Yan Liu, Heqing Zhu
(2016)
— Review of Financial Studies
The Probability of Backtest Overfitting
David H. Bailey, Jonathan Borwein, Marcos Lopez de Prado, Qiji Jim Zhu
(2015)