A Backtesting Protocol in the Era of Machine Learning
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- Article
- Abstract
- HOW DID WE GET HERE?
- THE WINNER’S CURSE
- AVOIDING FALSE POSITIVES: A PROTOCOL
- CATEGORY #1: RESEARCH MOTIVATION
- CATEGORY #2: MULTIPLE TESTING AND STATISTICAL METHODS
- CATEGORY #3: SAMPLE CHOICE AND DATA
- CATEGORY #4: CROSS-VALIDATION
- CATEGORY #5: MODEL DYNAMICS
- CATEGORY #6: MODEL COMPLEXITY
- CATEGORY #7: RESEARCH CULTURE
- CONCLUSIONS
- ACKNOWLEDGMENTS
- ENDNOTES
- REFERENCES
- Info & Metrics
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