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 ...
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. ...
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? ...
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 ...
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 ...
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 ...
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 ...