Description Usage Arguments Details Value References Examples

Performs the probability of backtest overfitting computations.

1 2 |

`m` |
a |

`s` |
the number of subsets of |

`f` |
the function to evaluate a study's performance; required |

`threshold` |
the performance metric threshold (e.g. 0 for Sharpe, 1 for Omega) |

`inf_sub` |
infinity substitution value for reasonable plotting |

`allow_parallel` |
whether to enable parallel processing, default FALSE |

This function performs the probability of backtest overfitting calculation using a combinatorially-symmetric cross validation (CSCV) approach.

object of class `pbo`

containing list of PBO calculation results
and settings

Baily et al., "The Probability of Backtest Overfitting," http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253

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```
Loading required package: lattice
Loading required package: PerformanceAnalytics
Loading required package: xts
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Attaching package: 'PerformanceAnalytics'
The following object is masked from 'package:graphics':
legend
```

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