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Quantitative Finance · Glossaire

Qu'est-ce que « Minimum backtest length » ?

Definition 20.3 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 20 — Overfitting

The minimum backtest length for NN trials and a target Sharpe ratio is the number of years of history below which the expected best of NN strategies with no skill has an in-sample Sharpe ratio at or above the target.

Minimum backtest length: the years of history below which the expected best of N independent null strategies reaches the target Sharpe ratio. Data: firm.overfit.min_backtest_length.
Figure 20.3. Minimum backtest length: the years of history below which the expected best of NN independent null strategies reaches the target Sharpe ratio. Data: firm.overfit.min_backtest_length.
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