Attempts to disprove the trading strategy through introducing counter examples.
Needs some improvements on realistic backtesting.
Features and results doesn't work but the workflow in general might be useful.
virtualenv -p python3.9 env && source env/bin/activate
pip install -r requirements.txt
pip install "git+https://github.com/richmanbtc/[email protected]#egg=crypto_data_fetcher"
pip install TA-lib --no-binary TA-lib
python generate_features.py btcusdt
- https://twitter.com/lopezdeprado/status/1148534576874184704
- https://twitter.com/lopezdeprado/status/1270131167140945924?lang=en
- https://artifact-research.com/prob-prog/probabilistic-programming-in-finance-a-robust-sharpe-ratio-estimate/
- https://artifact-research.com/edu/preview/probabilistic-sharpe-ratio/
- https://forum.numer.ai/t/probabilistic-sharpe-ratio/446
- https://portfoliooptimizer.io/blog/the-probabilistic-sharpe-ratio-bias-adjustment-confidence-intervals-hypothesis-testing-and-minimum-track-record-length/
- https://portfoliooptimizer.io/blog/the-probabilistic-sharpe-ratio-hypothesis-testing-and-minimum-track-record-length-for-the-difference-of-sharpe-ratios/
- http://datagrid.lbl.gov/backtest/backtest.php
- https://stefan-jansen.github.io/machine-learning-for-trading/08_ml4t_workflow/
- https://github.com/stefan-jansen/machine-learning-for-trading/tree/main/08_ml4t_workflow
- https://quantdare.com/probabilistic-sharpe-ratio/
- https://quantdare.com/deflated-sharpe-ratio-how-to-avoid-been-fooled-by-randomness/
- https://gmarti.gitlab.io/qfin/2018/05/30/deflated-sharpe-ratio.html
- https://github.com/rubenbriones/Probabilistic-Sharpe-Ratio
- https://mathinvestor.org/2022/01/how-backtest-overfitting-in-finance-leads-to-false-discoveries/
- https://mathinvestor.org/2022/02/backtest-overfitting-and-the-post-hoc-probability-fallacy/
- https://github.com/esvhd/pypbo