Probability of Backtest Overfitting
PBO in-sample selection dot plot.
PBO rank logits histogram.
Probability of backtest overfitting.
Probability of backtest overfitting
Writes grid text to a default predetermined location.
PBO xy-plots
Following the method of Bailey et al., computes for a collection of candidate models the probability of backtest overfitting, the performance degradation and probability of loss, and the stochastic dominance.
Useful links