The process of evaluating a strategy, theory, or model by applying it to historical data.
3
votes
1answer
206 views
How do I backfill the price of bonds for backtesting?
I need to backfill the price of bonds for testing a startegy.
The method employed is:
Regressing the YTM of the bond against a benchmark.
Using the regression estimates to calculate the YTM for the ...
3
votes
0answers
96 views
Quant/Stat Factor Performance Website/Distribution?
Does anyone know of a decent quant/stat factor website, distribution(public or private) or publication that tracks performance of "many" of traditional quant/stat factors? By that I mean would show ...
2
votes
2answers
457 views
Resequencing of MsgSeqNum in FIX 4.2
I am trying to achieve the following functionality using QuickFIX for FIX 4.2
Send a couple of orders and make sure they’re filled.
Then disconnect.
Change the incoming (from Broker) sequence number ...
2
votes
1answer
216 views
What are the advantages of knowing the bid and ask over the best bid and ask?
I am importing historical intraday tick data from Bloomberg and I noticed the Bloomberg API allows users to import best bid, best ask, bid, and ask prices
If I am backtesting a trading strategy, what ...
2
votes
1answer
100 views
t-statistics for the mean return, using Newey-West standard errors
I have seen that in several papers, where the aim was to evaluate the performance of a certain investment strategy, they use t-statistics to test for significance in the results. However, this seems a ...
2
votes
1answer
90 views
Aftcast Generation
Aftcast is a way of simulating equity curves for different start years, usually from a large sample data ~100 years. Its kind of like start date sensitivity testing but in my case, I incorporated ...
2
votes
1answer
111 views
backtesting a 5% quantile model of a discrete value random variable?
If a random variable is discrete, and we are interested in its quantile value, how to define a proper back testing procedure?
For example, the underlying variable with a discrete value is
$$
...
2
votes
1answer
230 views
desk's performance
I need your point of view in evaluating the monthly performance of a desk.
I have the daily
credit risk capital requirement (A);
the net banking income or GNP (B).
What is the best measure of ...
2
votes
2answers
340 views
One bar look-ahead backtesting
Suppose you backtest the EUR/USD (or GBP/USD) forex pair with this system on the 1min timeframe:
1) Enter the market at any time n: go long if the "future" bar n+1 has a higher close as the close ...
2
votes
0answers
92 views
Are there canonical test cases for testing of pricing engines
Short intro: We are developing pricing engines for the calculation of market risk in a Solvency II solution, including bonds, callable bonds, cds, options, futures and so on. Are there any canonical ...
1
vote
2answers
192 views
backtesting options strategies in R
I would like to backtest an options strategy in R. I require the ability to delta hedge and rebalance to options in the portfolio at different frequencies (daily, monthly,etc.) What packages are the ...
1
vote
0answers
79 views
analyze strategy performance with given matrix of weights/time and weekly returns in R
I have a matrix of 259 weekly returns, 50 assets and a portfolio composition for each of the 259 weeks. I would like to test the performance of the portfolio during 52 weeks, rebalancing every 12 ...
1
vote
0answers
104 views
Backtesting benchmark / control test design
I am designing a backtesting system to test an algorithm.
I'd like to have a benchmark / control test results
to compare to the results of a custom algorithm.
A limited "set" of stocks is selected ...
1
vote
0answers
138 views
VaR backtesting with overlapping time intervals
Of course the issue here is dependence: can it be removed or accounted for (in independence tests too, which of course would be troublesome)? There's a lot of literature on regression in this setting, ...
0
votes
1answer
266 views
Is making a bid/ask offer a good way to lower the spreads?
I have written an algorithmic trading program which relies heavily on low spreads in the 0.1-0.3 PIP region. I was now wondering if it would be a good idea to place bid/ask offers instead of limit ...
0
votes
0answers
65 views
Volatility of a rolling window strategy
What methods can be applied to determine the volatility of strategy using a rolling window? Using normal standard deviation would bias the results as the returns will be highly correlated. Although, ...
0
votes
1answer
143 views
How far back is normal to backtest an ATS ? [duplicate]
Possible Duplicate:
How much data is needed to validate a short-horizon trading strategy?
How far back do people usually backtest trading systems? months? years?
0
votes
0answers
35 views
Inferring Returns From Minimal Data Points [duplicate]
Possible Duplicate:
How much data is needed to validate a short-horizon trading strategy?
Suppose I have daily returns for a trading strategy against one month of data. Before starting ...
-2
votes
2answers
575 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 ...
-2
votes
1answer
124 views
How to test the efficiency of Exponential Moving Averages as a trading startegy? [closed]
I would like to know how I can test the efficiency of Exponential Moving Averages when it comes to forex trading. Can i have any papers that point to the efficiency of this strategy?
Thank you. :)
