Original title: Data-Snooping Biases in Backtesting
Translated title: Data-Snooping Biases in Backtesting
Authors: Krpálek, Jan ; Bašta, Milan (advisor) ; Malá, Ivana (referee)
Document type: Master’s theses
Year: 2016
Language: eng
Publisher: Vysoká škola ekonomická v Praze
Abstract: [eng] [cze]
In this paper, we utilize White's Reality Check, White (2000), and Hansen's SPA test, Hansen (2004), to evaluate technical trading rules while quantifying the data-snooping bias. Secondly, we discuss the result with Probability of Backtest Overfitting framework, introduced by Bailey et al. (2015). Hence, the study presents a comprehensive test of momentum trading across the US futures markets from 2004 to 2016. The evidence indicates that technical trading rules have not been pro?table in the US futures markets after correcting for the data snooping bias. C??ílem diplomov?é pr?áce je implementace Whitova Reality testu, White (2000), a Hansenova SPA testu, Hansen (2004), za ?účelem identi?kace tzv. "data snooping" vych?ýlen??í v algoritmick?ych obchodních strategi??ích. V?ýsledky t?ěchto testů budou konfrontov?ány s PBO statistikou, Bailey et al. (2015). Za vyu?žití t?ěchto test?ů n?ásledn?ě hodnotí??me obchodov?an??í momentum strategi??í na americk?ých futures trz??ích v letech 2004-2016. Z?áv?ěrem konstatujeme, ?že strategie po o?či?št?ění?? o data snooping vych?ýlení?? nedosahuj??í v?yznamn?é ziskovosti.
Keywords: Algorithmic Trading; Backtesting; Data Snooping; Probability of Backtest Over?tting; Reality Check; Algoritmick?é obchodov?ání; Backtesting; Data Snooping; Probability of Backtest Over?tting; Reality Check

Institution: University of Economics, Prague (web)
Document availability information: Available in the digital repository of the University of Economics, Prague.
Original record: http://www.vse.cz/vskp/eid/53311

Permalink: http://www.nusl.cz/ntk/nusl-262277


The record appears in these collections:
Universities and colleges > Public universities > University of Economics, Prague
Academic theses (ETDs) > Master’s theses