Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 29, 2015 erstellt
Description:
In mathematical finance, backtest overfitting relates to the usage of historical market data (a backtest) to develop an investment strategy, where the strategy profits from random patterns rather than variables' signals. Backtest overfitting is now thought to be a primary reason why quantitative investment models and strategies that look good on paper often disappoint in practice. In this study we introduce two online tools, the Backtest Overfitting Demonstration Tool, or BODT for short, and the Tenure Maker Simulation Tool, or TMST, which illustrate the impact of backtest overfitting on investment models and strategies. We describe BODT and TSMT, the experiments they perform, together with technical details such as the evaluation metrics and parameters used