pbo (1.3.4)

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Probability of Backtest Overfitting.

https://github.com/mrbcuda/pbo
http://cran.r-project.org/web/packages/pbo

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.

Maintainer: Matt Barry
Author(s): Matt Barry <mrb@softisms.com>

License: MIT + file LICENSE

Uses: Does not use any package

Released over 3 years ago.


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