Introduces a paired one-switch benchmark that quantifies protocol-induced inflation from decision-time leakage in financial ML backtests on equity panels from 2016-2024.
On leakage in machine learning pipelines.arXiv preprint arXiv:2311.04179, 2023
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When Alpha Disappears: A One-Switch Benchmark for Decision-Time Leakage in Financial Backtests
Introduces a paired one-switch benchmark that quantifies protocol-induced inflation from decision-time leakage in financial ML backtests on equity panels from 2016-2024.