Comments (3)
I think MLDP is referring to the probably existing multiple testing bias.
from adv_fin_ml_exercises.
Number of backtests executed and considerations omitted should be exposed
from adv_fin_ml_exercises.
Experiment assumptions, number of simulations, optimal hyperparameter values (and results that aren't optimal) should be provided. Also, there may be an error in their sharpe ratio calculation (so it's worth checking their math/code)
from adv_fin_ml_exercises.
Related Issues (20)
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from adv_fin_ml_exercises.