Quantitative research library
Summaries of the papers and rules that the Stochastly assistant cites, each with its source. Read them here, or ask the assistant inside the app.
Definitions of the terms used in these notes: Glossary of quantitative research terms
Backtest overfitting
Sourced summaries of the research on backtest overfitting: deflated Sharpe, PBO, CPCV, data snooping, multiple testing and backtest-to-live decay.
Backtest versus live: a large cohort · Can forecasters forecast? (Cowles, 1933) · Combinatorial purged cross-validation · Data snooping and p-hacking · Deflated Sharpe Ratio (DSR) · Deflation vs Selection Bias · Does publication destroy predictability? · Evaluating trading strategies: the threshold · 1 notes