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Is the Backtest Overfit?

Selection bias after many trials, the deflated Sharpe ratio, the probability of backtest overfitting, purged cross validation with an embargo, and the minimum backtest length.

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How this module runs

  1. 01 · IntroductionWhat it is and why it matters
  2. 02 · Key PointsThe most important points
  3. 03 · The Math + PythonFormula, step by step, code
  4. 04 · Real WorldWhere it is used, best practice, common mistakes
  5. 05 · QuestionsExercises and interview
  6. Mini projectOne small program
Mini projectA thousand parameter sets, and the deflated Sharpe ratio of the bestOne small program on the topic, to run and to extend step by step.

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