Backtesting Strategies Based on Multiple Signals
收藏NBER2015-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w21329
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资源简介：
Strategies selected by combining multiple signals suffer severe overfitting biases, because underlying signals are typically signed such that each predicts positive in-sample returns. Highly significant backtested performance is easy to generate by selecting stocks on the basis of combinations of
通过组合多类信号构建的交易策略易出现严重的过拟合偏差，究其原因，基础信号通常均带有明确的符号属性，使得每类信号均可预测样本内正向收益。基于组合信号筛选个股时，极易生成具备高度统计显著性的回测绩效表现
提供机构：
美国国家经济研究局
创建时间：
2015-07-01
