tag:blogger.com,1999:blog-7630810606654250077.post510476533275163258..comments2023-05-12T04:18:09.354-07:00Comments on Timely Portfolio: Overfitted Backtestsklrhttp://www.blogger.com/profile/08783806801212705259noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-7630810606654250077.post-7897832636022614642014-01-07T18:44:24.795-08:002014-01-07T18:44:24.795-08:00hey, I saw that you blogged about the TTRTests pac...hey, I saw that you blogged about the TTRTests package - did the Hansen SPA or the White Reality Check help you out at all? I've also have been looking at ways to avoid data snooping bias with technical trading models. another paper I came across is this one from Hsu, wondering if you've seen this and had any experience with it: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1087044klrhttps://www.blogger.com/profile/08783806801212705259noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-19466138966821237112013-12-30T14:19:53.062-08:002013-12-30T14:19:53.062-08:00oh, very nice, I can't wait to play with it. ...oh, very nice, I can't wait to play with it. Hopefully, I can understand enough to write a follow up post. Thanks so much for sharing.klrhttps://www.blogger.com/profile/08783806801212705259noreply@blogger.comtag:blogger.com,1999:blog-7630810606654250077.post-28004988200624746182013-12-25T16:03:26.004-08:002013-12-25T16:03:26.004-08:00I took a swing at the other part of this story, th...I took a swing at the other part of this story, the probability of backtest overfitting, performance degradation, and stochastic dominance. R code at https://github.com/mrbcuda/pboklrhttps://www.blogger.com/profile/08783806801212705259noreply@blogger.com