David H. Bailey

David H. Bailey is a computational mathematician, formerly of Lawrence Berkeley National Laboratory and a research fellow at UC Davis. With Marcos López de Prado, Jonathan Borwein and Qiji Jim Zhu he authored the foundational backtest-overfitting papers — “Pseudo-Mathematics and Financial Charlatanism” (Notices of the AMS, 2014) and “The Probability of Backtest Overfitting” (2015) — and, with López de Prado, the Deflated Sharpe Ratio. He appears in this vault as a primary source for why most positive Markov-model backtests are statistically unreliable.

Connections

• Pseudo-Mathematics and Financial Charlatanism — proposes_model, source: https://www.ams.org/notices/201405/rnoti-p458.pdf
• Probability of Backtest Overfitting — proposes_model, source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2326253
• Deflated Sharpe Ratio — proposes_model, source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2460551
• Overfitting in Quantitative Trading — relates, source: https://www.ams.org/notices/201405/rnoti-p458.pdf