Evaluating Trading Strategies
提供了新工具来评估交易策略，针对多策略和组合策略的多次测试调整评估方法，避免夏普比率等统计量被高估，方法简单且可实时评估候选策略。
In this article, the authors provide some new tools to evaluate trading strategies. When it is known that many strategies and combinations of strategies have been tried, it is necessary to adjust our evaluation method for these multiple tests. Sharpe Ratios and other statistics will be overstated. The methods provided by the authors in this article are simple to implement and allow for the real-time evaluation of candidate trading strategies. <bold>TOPICS:</bold> <ext-link>Financial crises and financial market history</ext-link>, <ext-link>accounting and ratio analysis</ext-link>, <ext-link>statistical methods</ext-link>