A Reality Check for Data Snooping
AdvancedAny horizonMethodTestable with your data
A bootstrap test of whether the best of many strategies really beats a benchmark once you account for the search.
At a glance
- Level
- Advanced: Stochastic control, point processes, heavy econometrics or deep learning
- Horizon
- Any horizon
- Data needed
- None to read it; no dataset required Set what data you have
- Themes
- Backtesting
- Assets
- Equities
- Market
- Global