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Entries Tagged as 'aronson bootstrap data mining'

Bootstrap – Take 2: Data Mining bias, Code and using geometric mean

August 13th, 2010 · 65 Comments · Backtest, Code

In part 1 of this bootstrap post, we looked at how to apply the method to establish the statistical significance of a single trading rule. In Part 2, we’ll look at how to deal with the data mining bias, the impact of geometric vs. arithmetic mean return. The code implementing the bootstrap test is available […]

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