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

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huaiweicheng opened this issue Jun 11, 2020 · 1 comment
Open

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

huaiweicheng opened this issue Jun 11, 2020 · 1 comment
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@PanPip
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enhancement good first issue

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@huaiweicheng
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@huaiweicheng huaiweicheng commented Jun 11, 2020

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

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@PanPip
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@PanPip PanPip commented Jun 15, 2020

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. 🙂
@PanPip PanPip self-assigned this Jun 15, 2020
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Labels
enhancement good first issue
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@huaiweicheng @PanPip