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All That Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms
10 references·0 citing·42 second hop
All That Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms (2016)All That Glitters Is Not Gold: Comparing …101 Formulaic Alphas (2016)101 Formulaic AlphasDoes Academic Research Destroy Stock Return Predictability? (2015)Does Academic Research Destro…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality (2014)The Deflated Sharpe Ratio: Co…Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance (2014)Pseudo-Mathematics and Financ…High-frequency trading : new realities for traders, markets and regulators (2013)High-frequency trading : new …On-Line Portfolio Selection with Moving Average Reversion (2012)On-Line Portfolio Selection w…The Statistics of Sharpe Ratios (2002)The Statistics of Sharpe Rati…How to Game Your Sharpe Ratio (2001)How to Game Your Sharpe RatioMutual Fund Performance (1966)Mutual Fund PerformanceOn‐Line Portfolio Selection Using Multiplicative Updates (1998)Can We Learn to Beat the Best Stock (2004)Algorithms for portfolio management based on the Newton method (2006)Online Portfolio Selection: A Survey (2012)Relation-Aware Transformer for Portfolio Policy Learning (2020)Adaptive online portfolio selection with transaction costs (2021)Portfolio Performance Manipulation and Manipulation-proof Performance MeasuresOn estimating the expected return on the market (1980)The Econometrics of Financial Markets (1997)High Frequency Trading and the New-Market Makers (2012)The Econometrics of Financial Markets (2012)Can ChatGPT forecast stock price movements? Return predictability and large language models (2026)Hedge Funds: Pricing Controls and the Smoothing of Self-reported Returns (2011)Does socially responsible investment equity indexes in emerging markets pay off? Evidence from Brazil (2012)Socially Responsible Investment and cleaner production in the Asia Pacific: does it pay to be good? (2013)“Options, Futures, and Other Derivatives” (2016)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Mispricing Factors (2016)Choosing factors (2018)Replicating Anomalies (2018)Why Most Published Research Findings Are False (2005)Why Most Published Research Findings Are False (2005)The 10 Reasons Most Machine Learning Funds Fail (2018)Detection of false investment strategies using unsupervised learning methods (2019)What Is Quality? (2019)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)The probability of backtest overfitting (2016)An Application of Deep Reinforcement Learning to Algorithmic Trading (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Empirical Asset Pricing via Machine Learning (2020)Reinforcement Learning for Quantitative Trading (2023)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)High-Frequency Trading and Its Impact on Markets (2014)Sparse Coding-Inspired Optimal Trading System for HFT Industry (2015)High‐frequency trading: Definition, implications, and controversies (2021)
this work references cited by second hop

References

  • 1966Mutual Fund Performance3,932 cited
  • 2015… and the Cross-Section of Expected Returns2,112 cited
  • 2015Does Academic Research Destroy Stock Return Predictability?1,563 cited
  • 2002The Statistics of Sharpe Ratios842 cited
  • 2014Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance219 cited
  • 2014The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality124 cited
  • 2001How to Game Your Sharpe Ratio89 cited
  • 2012On-Line Portfolio Selection with Moving Average Reversion77 cited
  • 2016101 Formulaic Alphas67 cited
  • 2013High-frequency trading : new realities for traders, markets and regulators43 cited

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