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

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2
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1answer
72 views

importing columns of returns data into python from excel/csv [closed]

I'm fairly new to the quant finance space, and I was hoping to get some guidance. Say I have a csv/excel file with columns of daily returns data for various asset classes or securities (one column per ...
2
votes
1answer
159 views

Simulating Stock's close, high and low prices

I am testing a model in which I need to simulate closing, high and low prices (i.e. 3 dimensions of prices) of any given stock. Using the simple Geometric Brownion Motion equation I can easily ...
2
votes
1answer
148 views

Calculation of Returns and Risk Metrics for L/S Portfolio

I am trying to build a test for a long/short portfolio. I am aiming for market neutral and have put together a long portfolio as well as a short portfolio (see below). However, I am not sure if I am ...
2
votes
1answer
382 views

Analog - Pattern Recognition model using KNN

I'm building a pattern recognition model for my master thesis. The idea is to build a framework with some Macro variables (long/short term rates; rates differential; equity; fx; vix) in order to find ...
2
votes
1answer
810 views

How to fully replicate ADX + DI Indicators in Excel? [closed]

For black box testing, I was hoping that I could replicate the ADX + DI+ and DI- indicators that are provided in trading platforms such as ThinkOrSwim, ScottradeElite etc. However, I noticed that ...
2
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2answers
549 views

Machine Learning on matlab 2010

I am trying to develop a trading model. It uses certain technical and fundamental features and the model learns from the past. I have a 3-class output - bullish, neutral and bearish. On trying neural ...
2
votes
2answers
120 views

how to make a distribution model tolerable of trend?

I'm building an model on different loans' NPL rate. The problem is NPL rates are always affected by the market. When NPL rates move in trend, my model will fail the back-testing. Assuming $x(t)$ is a ...
2
votes
1answer
39 views

Need advice about distributed backtesting architecture [closed]

We are working under complex enough distributed trading system where several components will run on different physical machines. Unfortunately, I'm stuck on part backtesting part. Originally we was ...
2
votes
1answer
55 views

Simple Moving Average Backtest: Cumulative Return too high

I apologize if this is way too basic a question, but I'm an absolute beginner to trading and am in the process of learning the fundamentals. Currently I'm trying to model a (10-day) SMA backtest in ...
2
votes
1answer
53 views

Backtesting Strategies - Sampling and returns types

I am back testing a strategy in R and I have some questions about testing design. I have a universe of around 500 stocks to test filtered based on liquidity. To test the trading strategy I have ...
2
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0answers
32 views

Significance testing of average returns from Sharpe ratio

I'm aware that one way to do significance testing on a strategy is based on the sampling distribution of its Sharpe (see, e.g., Lo, 2002 and Opdyke, 2008). However, it appears to me that there's ...
2
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0answers
101 views

R quantstrat backtest with dollar based position sizing

I am attempting to tweak a quantstrat based backtest but have run into an issue. The maxPos limits are share based, and I would rather use a fixed dollar amount instead. So I've tried generating a ...
2
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0answers
165 views

Are there any software libraries for backtesting FX algorithms against tick data?

I've read question, however it doesn't appear as if any of those libraries work for FX data. A Google search for python forex backtesting turns up this project, ...
2
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0answers
71 views

How to compare market values with model values after calibration?

After calibration the G2++ model for interest (with swaption volatilities), I want to statistically test the quality of the calibration by comparing market to model values. What is the best way to ...
2
votes
0answers
80 views

Adjusting for your own orders in future backtests

I was asked this question in an interview and despite thinking about it for a while, I haven't been able to come up with a good answer. Suppose you have a strategy you are running where at certain ...
1
vote
1answer
166 views

What is the logic behind this backtesting code in R

I am new to R and I have found this simple backtesting code and can you explain me what is happening here. ...
1
vote
1answer
109 views

Daily or weekly data?

I am trying to test a strategy but do not know if I should use daily or weekly data? I have tried researching this & have found that daily data will bring " too much " noise compared to lower ...
1
vote
1answer
97 views

How do I take an unbiased, sector neutral sample from a stock index?

I am looking to take a cross sector subset of a larger stock index universe. What steps to I take to assure that sector representation is as equal as possible to help smooth out my variance(while ...
1
vote
1answer
36 views

Backtesting and dividend adjustments

I am backtesting a number of trading strategies using a feed of unadjusted data from Factset. Before I run the backtest my routines adjust the data for splits and for special dividends. One question ...
1
vote
1answer
283 views

Is there a good backtesting package in R?

My model exports a vector that have for each day b-buy s-sell or h- hold it's look like this: sig [1] b b s s b b b s s b s b s s b s b s s s s b b s s b b b b b b s b b b b b b b I want to ...
1
vote
2answers
299 views

Long/Short Backtesting Set up

I am going to be backtesting a Long/Short equity strategy and need some guidance on how best to deal with the short book. I was thinking that for each portfolio I would go long 50 equities and go ...
1
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0answers
39 views

Proper Definition of Backtesting Parameter

Currently I'm trying to test the efficacy of a tail-hedging strategy in which an investor goes long in an index and correspondingly buys 1-month OTM put options. For practical reasons, the options ...
1
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1answer
77 views

Bloomberg Historical Fundamental Data - Point in time

I'm trying to retrieve historical stocks fundamental data from Bloomberg to backtest some quant ideas. I'm having trouble to find the correct point in time the data was available. For instance, the ...
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0answers
19 views

Making apriori Statements on VaR Backtests with a Garch Modelled VaR

so I want to find out, if its possible to find out for any backtest for the Value at Risk(Kupics POF or Christophersen's Markov Test), if it is possible to make apriori Statements on Testing results ( ...
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1answer
89 views

ES not elicitable

Expected Shortfall is not elicitable as some papers have pointed out. That simply means that there is no scoring function that elicits ES. My question is, does this imply that Expected Shortfall ...
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0answers
131 views

How to backtest Value at Risk Models using Conditional and Unconditional tests?

I am trying to carry out backtesting on a number of Value at Risk figures i obtained using var/covar, historical, and monte carlo simulation. The two methods im using are the Kupiec test ...
1
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1answer
31 views

how to choose a price adjustment, a roll date and a data center for my trading strategy?

I have many doubts about Which roll date and price adjustment should I use. I need to backtest like 50 diferents futures. 6 index(mini sp500, Nikkei 225…), 10 Agriculture (soybean, Oat, Corn….),3 ...
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2answers
150 views

How to estimate probable seeling pricegiven OHLC data for backtesting?

I'm relative new to this, so I might be asking something that doesn't make sense. Here is my scenario: I have intraday day at 1 minute intervals. This data has ohlc data and I want to compute for any ...
1
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1answer
279 views

Plot Evolution of portfolio weights over time in R [closed]

Is there any function for plotting the evolution of portfolio weights over time in r?. I have a matrix of portfolio weights from an equal weighting strategy at rebalancing times and want to plot ...
1
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0answers
270 views

Comparing Backtests of Value-at-Risk and Expected Shortfall

My goal is to test if ES (CVaR) empirically is a better risk measure than VaR for a set of given variables (assumed underlying distribution, confidence level, sample size) for different asset classes. ...
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0answers
188 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 ...
0
votes
2answers
168 views

Sharpe Ratio and time spent in loss

Is it possible to express, given an annualized Sharpe Ratio value, what is an expected maximum/average time spent in a draw-down or something in this manner? E.g. with SR of 10, you'd expect to spend ...
0
votes
2answers
127 views

Backtesting software with custom data input

I was considering to develop a custom backtesting platform for myself. However, I see that it would require some significant time and effort, and the result might not be as initially expected. So I ...
0
votes
1answer
289 views

What data should be used for regression-based model backtesting?

I ran regressions using historical valuation data and now want to backtest the models I came up with. Are there any issues with using the same historical data set for the backtest that I need to be ...
0
votes
1answer
530 views

backtesting with open, close, high and low

I am quite notice at the business of backtesting for an automated strategy. I was wondering, can I/should I use High and Low for this purpose? On one hand, the algorithm will see these prices, but on ...
0
votes
1answer
234 views

How to backtest the VaR model?

I have a sorted historical P&L vector of 250 days and say, I want to calculate the 90% VaR on this distribution. I will look for the 225 element (90% * 250 = 225) and this will be my Value at ...
0
votes
1answer
311 views

adjusted close prices on SP500

When I look at the adjusted close prices of SP500, for example, I notice that the numbers are always significantly below the actual closing. In the explanation of what adjusted prices are, one gets ...
0
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0answers
25 views

Selection of optimal backtesting parameters

Suppose I backtest some strategy on in-sample data while varying two parameters, say $X$ and $Y$. $X$ can take the values $\{3,6,9,12,15,18\}$ while $Y$ can take $\{10,15,20,25,30\}$. I want to select ...
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0answers
42 views

Cointegration for forex using ARMA model to forecast the spread

I am working on an automatized quantitative strategy that use cointegration in Forex. I am backtesting this strategy in Python. Please see below the python file: ...
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0answers
32 views

Backtesting algorithms

Are there any books/papers/articles to describe how to develop a backtesting software? Something like backtest in quantopian website. How do they calculate the Cumulative performance?
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0answers
17 views

Using the univariate regression coefficient to calculate cumulative return - does it make sense?

When testing a stand-alone signal usually one of the simple tests I do is a long-short equal-weight strategy to see how the wealth chart looks like. Going through my predecessor's code I see ...
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0answers
16 views

Value at Risk Backtest type 2 error

I am wondering why in the most popular tests(Kupiec's POF, Christoffersen, the Null hypothesis is "our model is accurate". If we set our null hypothesis that way, we only have a decent result if we ...
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0answers
24 views

Kfold cross validation: how to handle hold-out periods

I want to backtest a strategy using K-fold cross validation. Assume I have a period of 300 days in my backtest. I divide it into 30 folds of 10 days each. On day 1 of a fold, I enter a trade, and ...
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0answers
10 views

Video Metadata Backtest

If you were to Backtest data extracted from video feeds, let's say for commodities. How many years/hours of video would you desire? The video repository is currently harvested going back 5 years and ...
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0answers
67 views

backtest asset allocation strategies

I've searched the site but haven't found an easy way to backtest my personal portfolio allocations. Suppose I want to know the total return for the following portfolio from Jan 1, 2009 to Dec 31, ...
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0answers
23 views

Video Analysis Platform

I own a data analysis company which is currently bulk extracting metadata from historical market video and audio files, and creating alternative/historical datasets around commodities, S&P 500 ...
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0answers
7 views

Is Market OPG an efficient means of entering positions at historic daily open prices?

This question pertains to backtesting a strategy against historic daily data. If a strategy is devised using such data, is Market OPG a reasonable way to enter positions? Expanding, the question is ...
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0answers
45 views

optimal look back period for cointegration analysis on daily prices

I'm running some cointegration tests on 2 stock pairs and was wondering, generally speaking, what would be the optimal look back period to test considering I am using daily prices and the average ...
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0answers
380 views

How to calculate returns of backtested strategy?

Lets say I have some strategy (long/short) backtested for certain period. Strategy has entries/exits only at the end of the day and may have overnight positions hold. Now I would like to compare ...
0
votes
1answer
183 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?