pbo: Probability of Backtest Overfitting

Following the method of Bailey et al., computes for a collection of candidate models the probability of backtest overfitting, the performance degradation and probability of loss, and the stochastic dominance.

Version: 1.3.5
Depends: R (≥ 4.0.0)
Imports: utils (≥ 4.1.2), lattice (≥ 0.20.45), latticeExtra (≥ 0.6.29), foreach (≥ 1.5.2)
Suggests: PerformanceAnalytics, grid, testthat, doParallel, parallel, knitr, spelling
Published: 2022-05-26
DOI: 10.32614/CRAN.package.pbo
Author: Matt Barry [aut, cre]
Maintainer: Matt Barry <mrb at softisms.com>
BugReports: https://github.com/mrbcuda/pbo/issues
License: MIT + file LICENSE
URL: https://github.com/mrbcuda/pbo
NeedsCompilation: no
Language: en-US
Materials: README NEWS
In views: Finance
CRAN checks: pbo results


Reference manual: pbo.pdf
Vignettes: Using the PBO package


Package source: pbo_1.3.5.tar.gz
Windows binaries: r-devel: pbo_1.3.5.zip, r-release: pbo_1.3.5.zip, r-oldrel: pbo_1.3.5.zip
macOS binaries: r-release (arm64): pbo_1.3.5.tgz, r-oldrel (arm64): pbo_1.3.5.tgz, r-release (x86_64): pbo_1.3.5.tgz, r-oldrel (x86_64): pbo_1.3.5.tgz
Old sources: pbo archive


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