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How to avoid over-fitting in data-science / quant-trading | Meetup

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Quantifying Backtest Overfitting in Alternative Beta Strategies Annti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter

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<p>Suhonen, Antti, Matthias Lennkh, and Fabrice Perez “Quantifying Backtest Overfitting in Alternative Beta Strategies.” <em>Journal of Portfolio ...

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We investigate the biases in the backtested performance of “alternative beta” strategies using a sample of 215 commercially promoted trading strategies across f

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ANTTI SUHONEN, MATTHIAS LENNKH, AND FABRICE PEREZ. Alternative beta strategies seeking to extract factor returns beyond directional market beta, or to.

Quantifying Backtest Overfitting in Alternative Beta Strategies ...jpm.pm-research.com › content › 90.abstract

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Antti Suhonen, Matthias Lennkh and Fabrice Perez. The Journal of Portfolio Management Winter 2017, 43 (2) ; DOI: https://doi.org jpm

Generative Adversarial Networks for Financial Trading ...deepai.org › publication › generative-adversarial-networks-for-financi...

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[44] Antti Suhonen, Matthias Lennkh, and Fabrice Perez. Quantifying backtest overfitting in alternative beta strategies. Journal of Portfolio ...

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Below is an excerpt from the paper Quantifying Backtest Overfitting in Alternative Beta Strategies by Antti Suhonen, Matthias Lennkh, and ...

Alternative Beta can be Great: But Beware of Data-Mining!

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Quantifying Backtest Overfitting in Alternative Beta Strategies Antti Suhonen, Matthias Lennkh, and Fabrice Perez A version of the paper can be found here....

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Quantifying Backtest Overfitting in Alternative Beta Strategies. Antti Suhonen, Matthias Lennkh, and Fabrice Perez; Journal of Portfolio ...

Quantifying Backtest Overfitting in Alternative Beta Strategies...

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author = "Antti Suhonen and Matthias Lennkh and Fabrice Perez",. year = "2017",. doi = " jpm ",. language = "English",. volume = "43",.

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These authors (Antti Suhonen, Matthias Lennkh and Fabrice Perez) began with a database of approximately alternative beta strategies, from which they ...

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Quantifying Backtest Overfitting in Alternative Beta Strategies Annti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter

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