Using Proposition 4.9 with , and removal after a fall of more than 60% in a year, compute the survival probability and the survivorship bias in the mean. Give two reasons why the true bias for a 10-year Indian small-cap breakout backtest is likely larger.
M04 · Problem 10 ★ Check
Survivorship
Answers
Working
Keep your working next to each problem, in markdown with maths: create a free account or sign in.
Solution
Try the problem first. Write down where you got stuck before opening it.