Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

2014/04/10 by David H. Bailey, Jonathan M. Borwein, Marcos López de Prado +1 · 6 citations
Economics, Econometrics and Finance · Decision Sciences · #Complex Systems and Time Series Analysis #Financial Markets and Investment Strategies #Stock Market Forecasting Methods

paper · pdf · doi:10.1090/noti1105

Abstract

Another thing I must point out is that you cannot prove a vague theory wrong.

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