This is a summary of links featured on Quantocracy on Sunday, 08/05/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
A replication of the Practical Application section in ‘The Probability of Backtest Overfitting’ [Open Source Quant]In their paper The Probability of Backtest Overfitting [https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253] Bailey et al. introduce a method for detecting overfitting. They refer to the method as CSCV or Combinatorially Symmetric Cross Validation. Bailey et al. proceed to show that CSCV produces reasonable estimates of PBO for several useful examples. To illustrate the ease with