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 …more
Abstract:
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
 

Keywords

Algoritmick?é obchodov?ání Probability of Backtest Over?tting Reality Check Data Snooping Backtesting

Keywords

Probability of Backtest Over?tting Data Snooping Backtesting Reality Check Algorithmic Trading
 
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

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http://www.vse.cz/vskp/eid/53311

Vysoká škola ekonomická v Praze

Master programme / field:
Kvantitativní metody v ekonomice / Statistika

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