[Blotter-commits] r1668 - in pkg/quantstrat: demo sandbox/backtest_musings
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Tue Jan 13 19:28:06 CET 2015
Author: braverock
Date: 2015-01-13 19:28:06 +0100 (Tue, 13 Jan 2015)
New Revision: 1668
Modified:
pkg/quantstrat/demo/00Index
pkg/quantstrat/sandbox/backtest_musings/stat_process.bib
pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.Rmd
pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.pdf
Log:
- update backtest paper
Modified: pkg/quantstrat/demo/00Index
===================================================================
--- pkg/quantstrat/demo/00Index 2015-01-07 18:12:44 UTC (rev 1667)
+++ pkg/quantstrat/demo/00Index 2015-01-13 18:28:06 UTC (rev 1668)
@@ -27,4 +27,5 @@
luxor.sample.tradeGraphs.sma.R Jaekle & Tomasini; sample 3D SMA graph
luxor.sample.tradeGraphs.timespan.R Jaekle & Tomasini; sample 3D timespan graph
signal.SMA.R SMA Cross Strategy with Signal Analysis Example; See maCross.R
-signal.RSI.R RSI Cross Strategy with Signal Analysis Example; See rsi.R
\ No newline at end of file
+signal.RSI.R RSI Cross Strategy with Signal Analysis Example; See rsi.R
+
Modified: pkg/quantstrat/sandbox/backtest_musings/stat_process.bib
===================================================================
--- pkg/quantstrat/sandbox/backtest_musings/stat_process.bib 2015-01-07 18:12:44 UTC (rev 1667)
+++ pkg/quantstrat/sandbox/backtest_musings/stat_process.bib 2015-01-13 18:28:06 UTC (rev 1668)
@@ -1,112 +1,136 @@
- at book{Aronson2006,
- author_sort = "Aronson, David",
- author = "David Aronson",
- year = "2006",
- month = "Nov",
- publisher = "Wiley",
- title = "Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals"
+% This file was created with JabRef 2.10.
+% Encoding: UTF-8
+
+
+ at Book{Aronson2006,
+ Title = {Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals},
+ Author = {David Aronson},
+ Publisher = {Wiley},
+ Year = {2006},
+ Month = {Nov},
+
+ Author_sort = {Aronson, David}
}
- at article{Bailey2014deSharpe,
- title={The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality},
- author={Bailey, David H and {L{\'o}pez de Prado}, Marcos},
- journal={Journal of Portfolio Management, Forthcoming},
- year={2014},
- url={http://www.davidhbailey.com/dhbpapers/deflated-sharpe.pdf}
+ at Article{Bailey2014pm,
+ Title = {Pseudomathematics and financial charlatanism: The effects of backtest {O}ver fitting on out-of-sample performance},
+ Author = {Bailey, David H and Borwein, Jonathan M and {L{\'o}pez de Prado}, Marcos and Zhu, Qiji Jim},
+ Journal = {Notices of the AMS},
+ Year = {2014},
+ Number = {5},
+ Pages = {458--471},
+ Volume = {61}
}
- at article{Bailey2014drawdown,
- title={Drawdown-Based Stop-Outs and the 'Triple Penance' Rule},
- author={Bailey, David H and {L{\'o}pez de Prado}, Marcos},
- journal={Journal of Risk},
- year={forthcoming, 2014},
- url={http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2201302}
+ at Article{Bailey2014probability,
+ Title = {The probability of backtest overfitting},
+ Author = {Bailey, David H and Borwein, Jonathan M and L{\'o}pez de Prado, Marcos and Zhu, Qiji Jim},
+ Year = {2014},
+
+ Url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253}
}
- at article{Bailey2014pm,
- title={Pseudomathematics and financial charlatanism: The effects of backtest {O}ver fitting on out-of-sample performance},
- author={Bailey, David H and Borwein, Jonathan M and {L{\'o}pez de Prado}, Marcos and Zhu, Qiji Jim},
- journal={Notices of the AMS},
- volume={61},
- number={5},
- pages={458--471},
- year={2014}
+ at Article{Bailey2014drawdown,
+ Title = {Drawdown-Based Stop-Outs and the 'Triple Penance' Rule},
+ Author = {Bailey, David H and {L{\'o}pez de Prado}, Marcos},
+ Journal = {Journal of Risk},
+ Year = {forthcoming, 2014},
+
+ Url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2201302}
}
- at article{Bailey2014probability,
- title={The probability of backtest overfitting},
- author={Bailey, David H and Borwein, Jonathan M and L{\'o}pez de Prado, Marcos and Zhu, Qiji Jim},
- year={2014},
- url={http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253}
+ at Article{Bailey2014deSharpe,
+ Title = {The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality},
+ Author = {Bailey, David H and {L{\'o}pez de Prado}, Marcos},
+ Journal = {Journal of Portfolio Management, Forthcoming},
+ Year = {2014},
+
+ Url = {http://www.davidhbailey.com/dhbpapers/deflated-sharpe.pdf}
}
- at article{baquero2005,
- title={Survival, look-ahead bias, and persistence in hedge fund performance},
- author={Baquero, Guillermo and Ter Horst, Jenke and Verbeek, Marno},
- journal={Journal of Financial and Quantitative Analysis},
- volume={40},
- number={03},
- pages={493--517},
- year={2005},
- publisher={Cambridge Univ Press},
- url= {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=371051}
+ at Article{baquero2005,
+ Title = {Survival, look-ahead bias, and persistence in hedge fund performance},
+ Author = {Baquero, Guillermo and Ter Horst, Jenke and Verbeek, Marno},
+ Journal = {Journal of Financial and Quantitative Analysis},
+ Year = {2005},
+ Number = {03},
+ Pages = {493--517},
+ Volume = {40},
+
+ Publisher = {Cambridge Univ Press},
+ Url = {http://papers.ssrn.com/sol3/papers.cfm?abstract_id=371051}
}
- at book{Box1987,
- title={Empirical model-building and response surfaces.},
- author={Box, George E.P. and Draper, Norman R.},
- year={1987},
- publisher={John Wiley \& Sons}
+ at Book{Box1987,
+ Title = {Empirical model-building and response surfaces.},
+ Author = {Box, George E.P. and Draper, Norman R.},
+ Publisher = {John Wiley \& Sons},
+ Year = {1987}
}
- at article{Burns2006,
- title={Random Portfolios for Evaluating Trading Strategies},
- author={Burns, Patrick},
- year={2006},
- url={http://www.burns-stat.com/pages/Working/evalstrat.pdf}
+ at Article{Burns2006,
+ Title = {Random Portfolios for Evaluating Trading Strategies},
+ Author = {Burns, Patrick},
+ Year = {2006},
+
+ Url = {http://www.burns-stat.com/pages/Working/evalstrat.pdf}
}
- at book{Carroll2011,
- title={The skeptic's dictionary},
- subtitle = { a collection of strange beliefs, amusing deceptions, and dangerous delusions},
- author={Carroll, Robert},
- year={2011},
- publisher={John Wiley \& Sons},
- url={http://skepdic.com/adhoc.html}
+ at Book{Carroll2011,
+ Title = {The skeptic's dictionary},
+ Author = {Carroll, Robert},
+ Publisher = {John Wiley \& Sons},
+ Year = {2011},
+
+ Subtitle = { a collection of strange beliefs, amusing deceptions, and dangerous delusions},
+ Url = {http://skepdic.com/adhoc.html}
}
- at article{Diedesch2014,
- author={Diedesch, Josh},
- year={2014},
- journal={Chief Investment Officer},
- title ={2014 Forty Under Forty},
- publisher = {California State Teachers\' Retirement System},
- url={http://www.ai-cio.com/Forty_Under_Forty_2014.aspx?page=9}
+ at Article{Diedesch2014,
+ Title = {2014 Forty Under Forty},
+ Author = {Diedesch, Josh},
+ Journal = {Chief Investment Officer},
+ Year = {2014},
+
+ Publisher = {California State Teachers\' Retirement System},
+ Url = {http://www.ai-cio.com/Forty_Under_Forty_2014.aspx?page=9}
}
-
@Book{Feynman1965,
- title={The Feynman Lectures on Physics},
- author={Feynman, Richard P and Leighton, Robert B and Sands, Matthew and Hafner, EM},
- volume={1-3},
- year={1965}
+ Title = {The Feynman Lectures on Physics},
+ Author = {Feynman, Richard P and Leighton, Robert B and Sands, Matthew and Hafner, EM},
+ Year = {1965},
+ Volume = {1-3}
}
@Book{Fitschen2013,
- author = {Fitschen, Keith},
- publisher = {John Wiley \& Sons, Inc.},
- year = {2013},
- title = {Building Reliable Trading Systems},
- subtitle = {Tradable Strategies That Perform as They Backtest and Meet Your Risk-Reward Goals}
+ Title = {Building Reliable Trading Systems},
+ Author = {Fitschen, Keith},
+ Publisher = {John Wiley \& Sons, Inc.},
+ Year = {2013},
+
+ Subtitle = {Tradable Strategies That Perform as They Backtest and Meet Your Risk-Reward Goals}
}
- at book{Hastie2009,
- title={The elements of statistical learning: Data mining, inference, and prediction. Second Edition},
- author={Hastie, Trevor and Tibshirani, Robert and Friedman, Jerome},
- year={2009},
- publisher={Springer}
+ at Misc{Fox2011,
+ Title = {Multivariate Linear Models in R},
+
+ Author = {Fox, John and Weisberg, Sanford},
+ Year = {2011},
+
+ __markedentry = {[brian:]},
+ Owner = {brian},
+ Publisher = {An Appendix to An R Companion to Applied Regression, Sage, Thousand Oaks, CA,},
+ Timestamp = {2015.01.13}
}
+ at Manual{parma2014,
+ Title = {parma: portfolio allocation and risk management applications.},
+ Author = {Alexios Ghalanos and Bernhard Pfaff},
+ Note = {R package version 1.5-1.},
+ Year = {2014}
+}
+
@Article{Hansen2005,
Title = {A Test for Superior Predictive Ability},
Author = {Hansen,Peter R.},
@@ -114,111 +138,171 @@
Year = {2005}
}
- at article{Harvey2013backtesting,
- title={Backtesting},
- author={Harvey, Campbell R. and Liu, Yan},
- journal={SSRN},
- url={http://ssrn.com/abstract=2345489},
- year={2013}
+ at Article{Harvey2014,
+ Title = {Evaluating Trading Strategies},
+ Author = {Harvey, Campbell R. and Liu, Yan},
+ Journal = {SSRN},
+ Year = {2014},
+
+ Url = {http://ssrn.com/abstract=2474755}
}
- at article{Harvey2014,
- title={Evaluating Trading Strategies},
- author={Harvey, Campbell R. and Liu, Yan},
- journal={SSRN},
- url={http://ssrn.com/abstract=2474755},
- year={2014}
+ at Article{Harvey2013backtesting,
+ Title = {Backtesting},
+ Author = {Harvey, Campbell R. and Liu, Yan},
+ Journal = {SSRN},
+ Year = {2013},
+
+ Url = {http://ssrn.com/abstract=2345489}
}
- at article{Harvey2013multiple,
- title={Multiple Testing in Economics},
- author={Harvey, Campbell R. and Liu, Yan},
- journal={SSRN},
- url={http://ssrn.com/abstract=2358214},
- year={2013}
+ at Article{Harvey2013multiple,
+ Title = {Multiple Testing in Economics},
+ Author = {Harvey, Campbell R. and Liu, Yan},
+ Journal = {SSRN},
+ Year = {2013},
+
+ Url = {http://ssrn.com/abstract=2358214}
}
- at book{Horowitz2014,
- title={The Hard Thing about Hard Things},
- subtitle={Building a Business when There are No Easy Answers},
- author={Horowitz, Ben},
- year={2014},
- publisher={HarperCollins}
+ at Book{Hastie2009,
+ Title = {The elements of statistical learning: Data mining, inference, and prediction. Second Edition},
+ Author = {Hastie, Trevor and Tibshirani, Robert and Friedman, Jerome},
+ Publisher = {Springer},
+ Year = {2009}
}
- at book{Kestner2003,
- title={Quantitative trading strategies: {H}arnessing the power of quantitative techniques to create a winning trading program},
- author={Kestner, Lars},
- year={2003},
- publisher={McGraw-Hill}
+ at Book{Horowitz2014,
+ Title = {The Hard Thing about Hard Things},
+ Author = {Horowitz, Ben},
+ Publisher = {HarperCollins},
+ Year = {2014},
+
+ Subtitle = {Building a Business when There are No Easy Answers}
}
+ at Book{Ilmanen2011,
+ Title = {Expected returns: an investor's guide to harvesting market rewards},
+ Author = {Ilmanen, Antti},
+ Publisher = {John Wiley \& Sons},
+ Year = {2011}
+}
+
+ at Book{Kestner2003,
+ Title = {Quantitative trading strategies: {H}arnessing the power of quantitative techniques to create a winning trading program},
+ Author = {Kestner, Lars},
+ Publisher = {McGraw-Hill},
+ Year = {2003}
+}
+
@Book{Kuhn2013,
Title = {Applied predictive modeling},
Author = {Kuhn, Max and Johnson, Kjell},
Publisher = {Springer},
Year = {2013},
- url = {http://appliedpredictivemodeling.com/}
+
+ Url = {http://appliedpredictivemodeling.com/}
}
- at misc{mistakes2011,
- author={Martha K. Smith},
- author_sort={Smith, Martha},
- title={Common ~~ misteaks ~~ mistakes in using statistics: Spotting and Avoiding Them - Data Snooping},
- url = {https://www.ma.utexas.edu/users/mks/statmistakes/datasnooping.html},
- accessed = {2014-09-23}
+ at Article{Levy2006,
+ Title = {A systems approach to conduct an effective literature review in support of information systems research},
+ Author = {Levy, Yair and Ellis, Timothy J},
+ Journal = {Informing Science: International Journal of an Emerging Transdiscipline},
+ Year = {2006},
+ Number = {1},
+ Pages = {181--212},
+ Volume = {9},
+
+ __markedentry = {[brian:6]},
+ Owner = {brian},
+ Publisher = {Informing Science Institute},
+ Timestamp = {2015.01.13},
+ Url = {http://inform.nu/Articles/Vol9/V9p181-212Levy99.pdf}
}
- at book{Pardo2008,
- title={The evaluation and optimization of trading strategies, second edition},
- author_sort = "Pardo, Robert",
- author = "Robert Pardo",
- year = "2008",
- month = "Feb",
- year={2011},
- publisher={John Wiley \& Sons}
+ at Book{Pardo2008,
+ Title = {The evaluation and optimization of trading strategies, second edition},
+ Author = {Robert Pardo},
+ Publisher = {John Wiley \& Sons},
+ Year = {2008},
+ Month = {Feb},
+
+ Author_sort = {Pardo, Robert}
}
+ at Article{Peterson2015,
+ Title = {Developing \& Backtesting Systematic Trading Strategies },
+ Author = {Peterson, Brian G},
+ Year = {2015},
+
+ Url = {http://goo.gl/na4u5d}
+}
+
@Manual{perfa2014,
- title = {PerformanceAnalytics: Econometric tools for performance and risk analysis},
- author = {Brian G. Peterson and Peter Carl},
- year = {2014},
- subtitle = {R package version 1.4.3541},
- url = {http://CRAN.R-project.org/package=PerformanceAnalytics},
+ Title = {PerformanceAnalytics: Econometric tools for performance and risk analysis},
+ Author = {Brian G. Peterson and Peter Carl},
+ Year = {2015},
+
+ Subtitle = {R package version 1.4.3541},
+ Url = {http://CRAN.R-project.org/package=PerformanceAnalytics}
}
@Manual{porta2014,
- title = {PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios},
- author = {Brian G. Peterson and Peter Carl and Ross Bennett and Kris Boudt},
- year = {2014},
- subtitle = {R package version 0.9.0},
- url={http://r-forge.r-project.org/projects/returnanalytics/}
+ Title = {PortfolioAnalytics: Portfolio Analysis, including Numerical Methods for Optimization of Portfolios},
+ Author = {Brian G. Peterson and Peter Carl and Ross Bennett and Kris Boudt},
+ Year = {2015},
+
+ Subtitle = {R package version 0.9.3581},
+ Url = {http://r-forge.r-project.org/projects/returnanalytics/}
}
@Manual{quantstrat2014,
- title = {quantstrat: Quantitative Strategy Model Framework},
- author = {Brian G. Peterson and Joshua Ulrich and Jan Humme and Peter Carl },
- year = {2014},
- subtitle = {R package version 0.9.1632},
- url = {http://r-forge.r-project.org/projects/blotter/}
+ Title = {quantstrat: Quantitative Strategy Model Framework},
+ Author = {Brian G. Peterson and Joshua Ulrich and Jan Humme and Peter Carl },
+ Year = {2015},
+
+ Subtitle = {R package version 0.9.1667},
+ Url = {http://r-forge.r-project.org/projects/blotter/}
}
- at article{Racine2009,
- title={Data-driven model evaluation: a test for revealed performance},
- author={Racine, Jeffrey S and Parmeter, Christopher F},
- journal={Mac Master University},
- year={2009},
- url={https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=FEMES09&paper_id=152}
+ at Manual{R2014,
+ Title = {R: A Language and Environment for Statistical Computing},
+
+ Address = {Vienna, Austria},
+ Author = {{R Core Team}},
+ Organization = {R Foundation for Statistical Computing},
+ Year = {2014},
+
+ Url = {http://www.R-project.org/}
}
- at article{Ripley2004,
- title={Selecting amongst large classes of models},
- author={Ripley, Brian D},
- journal={Methods and models in statistics: In honor of Professor John Nelder, FRS},
- pages={155--170},
- year={2004}
+ at Article{Racine2009,
+ Title = {Data-driven model evaluation: a test for revealed performance},
+ Author = {Racine, Jeffrey S and Parmeter, Christopher F},
+ Journal = {Mac Master University},
+ Year = {2009},
+
+ Url = {https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=FEMES09&paper_id=152}
}
+ at Article{Ripley2004,
+ Title = {Selecting amongst large classes of models},
+ Author = {Ripley, Brian D},
+ Journal = {Methods and models in statistics: In honor of Professor John Nelder, FRS},
+ Year = {2004},
+ Pages = {155--170}
+}
+
+ at Misc{mistakes2011,
+ Title = {Common ~~ misteaks ~~ mistakes in using statistics: Spotting and Avoiding Them - Data Snooping},
+
+ Author = {Martha K. Smith},
+
+ Accessed = {2014-09-23},
+ Author_sort = {Smith, Martha},
+ Url = {https://www.ma.utexas.edu/users/mks/statmistakes/datasnooping.html}
+}
+
@Article{Sullivan1999,
Title = {Data snooping, technical trading rule performance, and the bootstrap},
Author = {Sullivan, Ryan and Timmermann, Allan and White, Halbert},
@@ -227,49 +311,63 @@
Number = {5},
Pages = {1647-1691},
Volume = {54}
-
}
- at misc{Tomasini2009,
- author_sort = "Tomasini, Emilio \& Jaekle, Urban",
- author = "Emilio Tomasini and Urban Jaekle",
- year = "2009",
- month = "Dec",
- volume = "1",
- title = "Trading Systems: A New Approach to System Development and
-Portfolio Optimisation ",
- title_sort = "Trading Systems A New Approach to System Development
-and Portfolio Optimisation"
+ at Misc{Tomasini2009,
+ Title = {Trading Systems: A New Approach to System Development and
+Portfolio Optimisation },
+
+ Author = {Emilio Tomasini and Urban Jaekle},
+ Month = {Dec},
+ Year = {2009},
+
+ Author_sort = {Tomasini, Emilio \& Jaekle, Urban},
+ Title_sort = {Trading Systems A New Approach to System Development
+and Portfolio Optimisation},
+ Volume = {1}
}
- at article{Tukey1962,
- title={The future of data analysis},
- author={Tukey, John W},
- journal={The Annals of Mathematical Statistics},
- pages={1--67},
- year={1962},
- publisher={JSTOR},
- url={http://projecteuclid.org/euclid.aoms/1177704711}
+ at Article{Tukey1962,
+ Title = {The future of data analysis},
+ Author = {Tukey, John W},
+ Journal = {The Annals of Mathematical Statistics},
+ Year = {1962},
+ Pages = {1--67},
+
+ Publisher = {JSTOR},
+ Url = {http://projecteuclid.org/euclid.aoms/1177704711}
}
- at book{Vince2009,
- title={The leverage space trading model},
- subtitle={Reconciling portfolio management strategies and economic theory},
- author={Vince, Ralph},
- volume={425},
- year={2009},
- publisher={John Wiley and Sons}
+ at Book{Vince2009,
+ Title = {The leverage space trading model},
+ Author = {Vince, Ralph},
+ Publisher = {John Wiley and Sons},
+ Year = {2009},
+ Volume = {425},
+
+ Subtitle = {Reconciling portfolio management strategies and economic theory}
}
- at misc{White2000,
- title={System and method for testing prediction models and/or entities},
- author={Halbert L. White},
- authorsort ={White, Halbert L.},
- url={http://www.google.com/patents/US6088676},
- year={2000},
- month=jul # "~11",
- publisher={Google Patents},
- note={US Patent 6,088,676}
+ at Misc{White2000,
+ Title = {System and method for testing prediction models and/or entities},
+
+ Author = {Halbert L. White},
+ Month = jul # {~11},
+ Note = {US Patent 6,088,676},
+ Year = {2000},
+
+ Authorsort = {White, Halbert L.},
+ Publisher = {Google Patents},
+ Url = {http://www.google.com/patents/US6088676}
}
+ at Misc{Rmarkdown,
+ Title = {R Markdown — Dynamic Documents for R},
+ Author = {Yihui Xie},
+
+ Owner = {brian},
+ Timestamp = {2015.01.13},
+ Url = {http://rmarkdown.rstudio.com/}
+}
+
Modified: pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.Rmd
===================================================================
--- pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.Rmd 2015-01-07 18:12:44 UTC (rev 1667)
+++ pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.Rmd 2015-01-13 18:28:06 UTC (rev 1668)
@@ -291,15 +291,17 @@
plain erroneous idea. The faster an untestable idea can be set aside
for more verifiable ideas, the better.
-\newthought{Proceeding without a hypothesis risks ruin.} Many strategists
-will still try to skip robust hypotheses in favor of sloppy ones such
-as "I hypothesize that this strategy idea will make money". While the value
-of testing a more rigorous hypothesis should be clear, it may be more
-difficult to see the risks imposed by having no hypothesis or a sloppy or
-incomplete hypothesis. An incomplete or otherwise deficient hypothesis at this
-stage will create a strong desire to "refine" the hypothesis later by adding
-new explanatory statements. This is called an "ad hoc hypothesis", where
-new hypotheses are piled on top of old to better "explain" observation.
+\newthought{Proceeding without a hypothesis risks ruin.} ^[*A big computer,
+a complex algorithm and a long time does not equal science. - Robert Gentleman*]
+Many strategists will still try to skip robust hypotheses in favor of sloppy
+ones such as "I hypothesize that this strategy idea will make money".
+
+While the value of testing a more rigorous hypothesis should be clear, it may
+be more difficult to see the risks imposed by having no hypothesis or a sloppy
+or incomplete hypothesis. An incomplete or otherwise deficient hypothesis at
+this stage will create a strong desire to "refine" the hypothesis later by
+adding new explanatory statements. This is called an "ad hoc hypothesis",
+where new hypotheses are piled on top of old to better "explain" observation.
(@Carroll2011 , p. 7 or online; see also "rule burden", below)
Engaging in the creation of ad hoc hypotheses risks ruin, as the
in sample (IS) explanatory power of the model will seem to go up, while the
@@ -1430,7 +1432,7 @@
- *techniques for backing out from weights to capital to order sizes*
___
-# Probability of Overfitting ^[*A big computer, a complex algorithm and a long time does not equal science. - Robert Gentleman*]
+# Probability of Overfitting ^[*We should recognize the reality that any simulated (backtest) performance presented to us likely overstates future prospects. By how much? -Antti Ilmanen* [- at Ilmanen2011] p. 112 ]
\newthought{This entire paper has been devoted to avoiding overfitting.}
At the end of the modeling process, we still need to evaluate how likely
@@ -1626,11 +1628,14 @@
as those of Brian Peterson, and do not necessarily reflect the opinions or
policies of DV Trading or DV Asset Management.
-©2014 Brian G. Peterson
+©2014-2015 Brian G. Peterson
\includegraphics[width=1.75cm]{cc-by-nc-sa}
*Please do not distribute this draft without permission.*
+
+The most recently published version of this document may be found at \url{http://goo.gl/na4u5d}
+
\newpage
___
Modified: pkg/quantstrat/sandbox/backtest_musings/strat_dev_process.pdf
===================================================================
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