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Robustness and Performance Evaluation Workshop
Test whether a strategy result is stable, economically meaningful, and likely to persist outside its original backtest.
Prerequisites: Experience building and evaluating a backtest
- Returns, volatility, Sharpe ratios, and drawdowns
- Benchmarks, factor exposures, turnover, and capacity
- Parameter, sample-period, cost, and regime sensitivity
- Multiple testing and criteria for rejecting a strategy