pbo: Probability of Backtest Overfitting
Following the method of Bailey et al., computes for a collection of candidate models the probability of backtest overfitting, the performance degradation and probability of loss, and the stochastic dominance.
| Version: | 1.3.5 |
| Depends: | R (≥ 4.0.0) |
| Imports: | utils (≥ 4.1.2),lattice (≥ 0.20.45),latticeExtra (≥0.6.29),foreach (≥ 1.5.2) |
| Suggests: | PerformanceAnalytics, grid,testthat,doParallel, parallel,knitr,spelling |
| Published: | 2022-05-26 |
| DOI: | 10.32614/CRAN.package.pbo |
| Author: | Matt Barry [aut, cre] |
| Maintainer: | Matt Barry <mrb at softisms.com> |
| BugReports: | https://github.com/mrbcuda/pbo/issues |
| License: | MIT + fileLICENSE |
| URL: | https://github.com/mrbcuda/pbo |
| NeedsCompilation: | no |
| Language: | en-US |
| Materials: | README,NEWS |
| In views: | Finance |
| CRAN checks: | pbo results |
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