Jan Krpálek
Master's thesis
Data-Snooping Biases in Backtesting
Data-Snooping Biases in Backtesting
Abstract:
C??ílem diplomov?é pr?áce je implementace Whitova Reality testu, White (2000), a Hansenova SPA testu, Hansen (2004), za ?účelem identi?kace tzv. "data snooping" vych?ýlen??í v algoritmick?ych obchodních strategi??ích. V?ýsledky t?ěchto testů budou konfrontov?ány s PBO statistikou, Bailey et al. (2015). Za vyu?žití t?ěchto test?ů n?ásledn?ě hodnotí??me obchodov?an??í momentum strategi??í na americk …moreAbstract:
In this paper, we utilize White's Reality Check, White (2000), and Hansen's SPA test, Hansen (2004), to evaluate technical trading rules while quantifying the data-snooping bias. Secondly, we discuss the result with Probability of Backtest Overfitting framework, introduced by Bailey et al. (2015). Hence, the study presents a comprehensive test of momentum trading across the US futures markets from …more
Language used: English
Date on which the thesis was submitted / produced: 2. 2. 2016
Identifier:
http://www.vse.cz/vskp/eid/53311
Thesis defence
- Date of defence: 1. 2. 2017
- Supervisor: Milan Bašta
- Reader: Ivana Malá
Full text of thesis
Contents of on-line thesis archive
Published in Theses:- autentizovaným zaměstnancům ze stejné školy/fakulty
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Institution archiving the thesis and making it accessible: Vysoká škola ekonomická v Prazehttp://www.vse.cz/vskp/eid/53311
Vysoká škola ekonomická v Praze
Master programme / field:
Kvantitativní metody v ekonomice / Statistika