PBO through the combinatorially symmetric cross-validation (CSCV) method

hudson-and-thames / mlfinlab

MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable, and easy to use tools.

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PBO through the combinatorially symmetric cross-validation (CSCV) method #382

Open huaiweicheng opened 4 years ago

huaiweicheng commented 4 years ago

Is your feature request related to a problem? Please describe.

Describe the solution you'd like In Advances in Financial Machine Learning Chapter 11 The dangers of backtesting provides us a method to estimate the probability of backtesting. I think it is a very useful method to evaluate the performance of strategies. However, I do not find it implemented in mlfinlab.

Describe alternatives you've considered

Additional context

PanPip commented 4 years ago

Hi @huaiweicheng,

Thank you for mentioning this! We will look deeper into this method and will add its implementation to MlFinLab package in the soon future. 🙂

Saharshjain78 commented 1 month ago

Hey @PanPip, is this issue still open, and may you please explain more about the issue?