Seminar 217, Risk Management: Backtest overfitting, stock fund design and forecast performance

Seminar 217, Risk Management: Backtest overfitting, stock fund design and forecast performance

Risk Seminar
Oct 17, 2017, 11:00 AM - 01:00 PM | 639 Evans Hall | Happening As Scheduled
Speaker: David Bailey, LBNL and UC Davis (Speaker - Featured)
Backtest overfitting means the usage of backtests (historical market data) to construct an investment strategy, fund or portfolio, when the number of variations explored exceeds limits of statistical reliability. We show that backtest overfitting is inevitable when computer programs are employed to explore millions or even billions of parameter variations (as is typical) to select an optimal...