braverock / braverock/quantstrat

add Suhonen complexity score overfitting test

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feature request
Dominant language
R
Stars
310
Forks
121
PR merge metrics
No merged PRs in 30d

Description

[Suhonen(2017)](http://www.iijournals.com/doi/abs/10.3905/jpm.2017.43.2.090?journalCode=jpm) creates a complexity score metric for evaluating backtest overfitting.

We should integrate this into quantstrat.

Contributor guide

Open the contributing guide

Research direction

No files, tests, or entry points are named. Start by reading the linked Suhonen (2017) paper and locating quantstrat's existing backtest performance metrics. Define how the complexity score should fit the package and what test demonstrates that the metric is calculated correctly.

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Assessment

Tech stack
r
Domain
fintech-quant
Issue type
Feature
Difficulty
5/5
Estimated time
Over a week
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
25/100

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