braverock / braverock/quantstrat
add Suhonen complexity score overfitting test
Open
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
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