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[1] Bailey, David H. and Borwein, Jonathan M. and Lopez de Prado, Marcos and Zhu, Qiji Jim, The Probability of Backtest Overfitting (February 27, 2015). Journal of ...

This backtesting suite is based on a guide written by Quantstart's Michael Halls-Moore on how to write an event-driven backtester. Improvements to the code in the guide made by Douglas Denhartog has ...