Adaptive specification search in financial machine learning produces statistically significant backtests even when no predictability exists, and a new audit using synthetic null environments plus an absolute magnitude gap can detect and quantify such spurious results.
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Spurious Predictability in Financial Machine Learning
Adaptive specification search in financial machine learning produces statistically significant backtests even when no predictability exists, and a new audit using synthetic null environments plus an absolute magnitude gap can detect and quantify such spurious results.