Open Issues Need Help
View All on GitHub [Good first issue] Add fixed-grid LPPLS causal and stability tests about 3 hours ago
good first issue research-mechanism contributor-benchmark
Backtest overfitting audit for factor research: probability of backtest overfitting (PBO), deflated Sharpe ratio, point-in-time data, purged walk-forward. Searches published factor libraries and reports what actually survived costs.
Python
#alpha-factors#alpha-research#backtest-overfitting#backtesting#cscv#deflated-sharpe-ratio#factor-investing#factor-research#multiple-testing#overfitting#pbo#point-in-time#purged-walk-forward#python#quant#quantitative-finance#quantitative-research#reproducible-research#research#research-integrity
good first issue research-mechanism contributor-benchmark
Backtest overfitting audit for factor research: probability of backtest overfitting (PBO), deflated Sharpe ratio, point-in-time data, purged walk-forward. Searches published factor libraries and reports what actually survived costs.
Python
#alpha-factors#alpha-research#backtest-overfitting#backtesting#cscv#deflated-sharpe-ratio#factor-investing#factor-research#multiple-testing#overfitting#pbo#point-in-time#purged-walk-forward#python#quant#quantitative-finance#quantitative-research#reproducible-research#research#research-integrity
[Good first issue] Add prefix-causality tests for HMM and BOCPD about 3 hours ago
good first issue research-mechanism contributor-benchmark
Backtest overfitting audit for factor research: probability of backtest overfitting (PBO), deflated Sharpe ratio, point-in-time data, purged walk-forward. Searches published factor libraries and reports what actually survived costs.
Python
#alpha-factors#alpha-research#backtest-overfitting#backtesting#cscv#deflated-sharpe-ratio#factor-investing#factor-research#multiple-testing#overfitting#pbo#point-in-time#purged-walk-forward#python#quant#quantitative-finance#quantitative-research#reproducible-research#research#research-integrity