[专题系列] 回测过程中的过度拟合问题 （backtest overfitting，附最新文献2篇）

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Thanks for sharing

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procedure presented in this paper has specifically been designed to determine the probability of backtest overfitting (PBO). This is defined as the probability that the strategy with optimal performance IS (in-sample) delivers OOS (out-of-sample) a performance below the median performance of all trials attempted by the researcher. When that probability is high, optimizing IS has a detrimental effect in terms of OOS performance, because the backtest profits from specific features in the IS subset that are not present elsewhere.

介绍了一种新方法CSCV（Combinatorially Symmetric  Cross-Validation）来估计回测中过度拟合的概率大小（Probability of Backtest Overfitting）。这种方法要优于人们通常用的比较样本内和样本外结果（ in-sample vs. out-of-sample）的方法。希望对大家在写计量论文中有帮助。