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White's Reality Check

Please add White's Reality check for robustness testing.

https://financial-hacker.com/whites-reality-check/

https://www.ssc.wisc.edu/~bhansen/718/White2000.pdf

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  • Votes +13
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

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DR
#1

mentaledge

27.02.2021 21:52

Task created

DR
#2

mentaledge

27.02.2021 22:52
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b
#3

bentra

27.02.2021 23:01
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k
#4

Karish

28.02.2021 10:19
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BS
#5

BobS

02.03.2021 07:09
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IH
#6

clonex / Ivan Hudec

07.03.2021 12:41
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CG
#7

Chris G

19.10.2022 21:25
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KB
#8

kbtech

19.10.2022 22:16
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JJ
#9

jjsb41

20.10.2022 04:29
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a
#10

astral

20.10.2022 12:00
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HF
#11

Vence_Jo

21.10.2022 18:43
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b
#12

bentra

26.10.2022 23:48
Are you sure we really want resources put into this?
-need to store every single variant produced and dismissed.

-prone to type II errors.

https://financial-hacker.com/whites-reality-check/


btw it's not really a robustness test but rather an estimation of a strategy's chances of not just passing all the filters by sheer luck (based on some assumptions.) But Isn't that what oos and holdout is for?


E
#13

Emmanuel

28.10.2022 12:59
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d
#14

Hamselv

28.10.2022 17:09
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w
#15

wiraputu

25.11.2022 10:04
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Votes: +13

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