The process of evaluating a strategy, theory, or model by applying it to historical data.

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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? ...
8
votes
4answers
390 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
171 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
346 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
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1answer
522 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 ...