The process of evaluating a strategy, theory, or model by applying it to historical data.
11
votes
3answers
2k views
Papers about backtesting option trading strategies
I am looking for all kinds of research concerning option trading strategies. With that I mean papers that publish results on different option trading strategies properly backtested with real-world ...
9
votes
3answers
795 views
What is the ideal ratio of in-sample length to out-of-sample length?
Suppose you are running a portfolio of quantitative strategies and that you develop a new potential strategy to be added to the mix. Assume for simplicity that the new strategy is independent of the ...
9
votes
1answer
378 views
What to ask for in a good prototyping framework?
Reading up on quantitative methods, model development, and back-testing, one obvious question springs to mind:
What should one ask of a prototyping (model testing) framework?
I know a lot of people ...
6
votes
1answer
360 views
Are shorter holding period strategies better?
Consider two statistically identical strategies (identical information ratios, sample size, ratio of transaction costs to total profit, etc.) except that one has a much shorter average holding period. ...
17
votes
2answers
1k views
How much data is needed to validate a short-horizon trading strategy?
Suppose one has an idea for a short-horizon trading strategy, which we will define as having an average holding period of under 1 week and a required latency between signal calculation and execution ...
8
votes
4answers
588 views
What are the risk factors in analysing strategies?
What do you think of strategies displayed on timelyportfolio.blogspot.com?
I really like the fact that there is some code to reproduce the strategies, but they seem very elementary because he does ...
8
votes
3answers
837 views
How to generate synthetic FX data for backtesting?
I want to generate synthetic forex data for the purpose of backtesting my trading algorithms. I have some rough ideas in mind on how to do this:
Start with a curve representing a trend, then randomly ...
-2
votes
2answers
571 views
Market Data For Project
I'm looking to find a service that will allow me to download historical data on stocks, bonds, options, futures, indices, etc and also to pick up new files either on a daily or weekly basis. I've been ...
3
votes
1answer
756 views
How do I backtest a convertible bond arbitrage strategy in R/Matlab?
Since no one was able to answer my previous question, I am going to try to backtest a modern convertible bond arbitrage strategy myself (perhaps I'll report the results back here, if you're lucky :)). ...
9
votes
1answer
358 views
Comparing backtesting returns with real trading returns
I have 10 years of backtested simulated performance of some trading strategy (using historical prices), and N months of actual trading performance. What statistical test can I do find out if I'm on ...
9
votes
2answers
596 views
How to simulate slippage
I'm backtesting a trading strategy, using free OHLC data from yahoo or google. I'm simulating friction by lopping a flat percentage (say 0.5%) off my returns for each day that I make a trade. Whats ...
5
votes
1answer
213 views
Multiple comparison problems
I recently read a blog entry where some statistics were generated for a common technical analysis indicator. Below is the link. My question shows up close to the bottom under the name bill_080, in ...
23
votes
6answers
2k views
What are the popular methodologies to minimize data snooping?
Are there common procedures prior or posterior backtesting to ensure that a quantitative trading strategy has real predictive power and is not just one of the thing that has worked in the past by pure ...
6
votes
3answers
4k views
Trading C++ Libraries
Are there any free c++ libraries that would have some of the functions that would be used in developing a trading strategy. For instance, calculating drawdown, Volatility Forecasting, MAE, MFE....etc.
...
10
votes
5answers
837 views
How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option?
In reference to the original Black Scholes model, what approach is best to test the model in a rigorous way? Is there a standard approach that can accomplish this in a reasonable amount of time?
...
26
votes
5answers
1k views
What are the key risks to the quantitative strategy development process?
Prompted in part by this question on data snooping, I would be interested to know:
What are the key risks that should be considered when developing a quantitative strategy based on: (a) historical ...
8
votes
4answers
341 views
Seeking Historical Non-Finance Datapoints for Backtesting
I'm working on some financial analysis code which I'd like to test against a historical dataseries to analyze the correlations to my algorithm to some non-finance related data. Ideally, I'd like to ...
6
votes
1answer
155 views
Data on US bankruptcy rate vs. standard valuation ratios
Does anyone know of any research or data on US corporate bankruptcy rates as a function of standard valuation ratios, such as P/B, P/E, etc.?
I'm trying to adjust the results of backtests to account ...
6
votes
2answers
322 views
Is there something like opportunistic “superstitious” trading?
This sentence in the following paper got me thinking:
"Some traders [...] trade every pattern whether proven or not, expecting
authentic ones to produce positive results, whilst the profits and ...
6
votes
1answer
433 views
What are the ensemble techniques to forecast returns?
It was pointed in an other question that ensemble methods can help to reduce curve fitting.
What are your experience with these and which one seems the most appropriate? If I had two forecasters that ...
