Chapter 16: Strategy Simulation
White's Reality Check and SPA Bootstrap Inference for Strategy Families intermediate
How to test whether the best strategy found in a search beats a benchmark once the whole search process is counted.
How to test whether the best strategy found in a search beats a benchmark once the whole search process is counted.
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References
A Reality Check for Data Snooping
Halbert White
(2000)
— Econometrica
The Probability of Backtest Overfitting
David H. Bailey, Jonathan Borwein, Marcos Lopez de Prado, Qiji Jim Zhu
(2015)