Comparing backtest and out-of-sample performance on a large cohort of trading algorithms
All that glitters is not gold: Comparing backtest and out-of-sample performance on a large cohort of trading algorithms Wiecki et al., 2016 The quality and reliability of common algorithm performance metrics makes for an interesting area of research. The widespread application of data science to finance has enabled quants and traders to easily test and evaluate their strategies against previous market conditions. Backtesting on prior market data often forms the backbone of algorithm development, but …