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

learn more… | top users | synonyms (1)

1
vote
1answer
37 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 ...
1
vote
1answer
51 views

Writing an Options Strategy Backtester

I've been doing some digging, and this question has been asked many times in various forms over the years - Backtesting Options Strategies in R Are there any good tools for backtesting options ...
6
votes
2answers
458 views

Cross Bid and Ask prices for Forex trading

I am using ITCH protocol to get the Market Data information for Forex and trying to implement LOB on it and what i have noticed is that Bid and Ask prices are crossing very often. Should that be ...
5
votes
1answer
239 views

Up and Down days in GBPUSD and a Filter

I want to study if the odds of an up or down day in a forex pairs is 50-50. I just count the total number of up and down days in X years and compare it with the total days. The results are very ...
10
votes
3answers
8k 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. ...
2
votes
1answer
89 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 ...
3
votes
2answers
153 views

How to get historical fundamental data in Bloomberg suitable for backtesting?

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 ...
6
votes
2answers
90 views

How to find funds with long history to use in backtest?

Is there a way (website/code) to find funds/etfs for a given asset class and how much data history is available (yahoo finance or other) ? It could be as simple as a list of funds by asset class and ...
1
vote
0answers
19 views

Relationship between in-sample and out-sample periods length

I have two general questions regarding "in-sample fitting vs. out-of-sample backtesting" kind of analyses. Is there any relationship between the length of the data collected for in-sample fitting ($a$)...
2
votes
1answer
96 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 ...
1
vote
0answers
39 views

How to backtest strategy in portfolio of stocks using SIT R?

I am creating and testing strategies in R code and using systemic investor toolbox(SIT) package as the backtesting tool. I copied a SIT backtesting code from a website and made small changes to make ...
1
vote
1answer
54 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?
3
votes
0answers
56 views

'GARCH - extreme value theory - copula' approach to estimate risk measures in R

I'm reading about this approach of using GARCH-EVT-copula methodology to separate univariate and joint estimation and then estimate for example VaR and ES. I wanted to try something similar, but my ...
1
vote
0answers
55 views

Backtesting Long/Short Market Neutral Z-Score Strategy with Custom Factors and Custom Stock Universe

So I've managed to backtest simple strategies, like MA, RSI and some fundamental ones (P/E ratios etc) but Im stuck at my last strategy. Here is some information: Tools: Excel and Python (also a ...
1
vote
0answers
19 views

Should the number of Markowitz Optimization steps be counted as backtest trials?

I'm backtesting a strategy that involves monthly investments in a few stocks out of a given set, that is, each month some of the stocks are shortlisted from an index and a long position is taken in ...
3
votes
0answers
62 views

Trading signal strength: [-1 to 1] or [predicted return]?

In the context of a backtesting engine, is it better to have strategy generate trade signals in the range from -1 to 1 or as exact predicted returns (e.g. -12% or 26%). The difference lies in how to ...
0
votes
2answers
42 views

How to setup a back test step by step?

I would like to setup a back test for Indian equities, Kindly help out with step by step procedure, No need to go into details, outlining of procedure are enough in bullet point, I will research ...
2
votes
1answer
62 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 ...
1
vote
0answers
64 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: https://drive.google.com/file/d/...
1
vote
0answers
41 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 ...
0
votes
0answers
18 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 ...
2
votes
1answer
41 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 ...
4
votes
1answer
86 views

Backesting VaR on overlapping intervals to year's end

Let us assume that each month of the year (up to November) we calculate a VaR (say 99%) with holding period to the end of the year. Thus the holding period starts with 12 months and goes down to 1 ...
0
votes
0answers
19 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 ...
1
vote
1answer
40 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 ...
2
votes
1answer
56 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 ...
1
vote
0answers
22 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 ( ...
5
votes
4answers
2k views

IB TWS & API, without IB account?

I'll be starting a MFE grad program in Fall, and some of the classes have a lab that use the IB TWS & API. I'd like to play around with it for fun this summer. Unfortunately, I don't have an IB ...
0
votes
0answers
32 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 ...
4
votes
1answer
377 views

How to optimize return in a moving average crossover algorithm

Moving average crossover strategy is a widely used strategy in algo trading. Is there a way to optimize return in a moving average crossover stratergy. I have used this site to backtest MA crossover ...
0
votes
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 ...
0
votes
0answers
81 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, 2014:...
7
votes
2answers
522 views

Why do institutions backtest?

I see that institutions still use backtesting by computing P&Ls over historical data and then compute some aggregating ratios to see whether a trading strategy is good or not even though it is not ...
0
votes
0answers
24 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 ...
0
votes
2answers
128 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
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 ...
1
vote
0answers
152 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 (...
7
votes
1answer
360 views

R Backtesters: Quantstrat vs SIT

I am learning R, and want to start using a backtester. I have spent about a day reading all I can about R backtesters, and it seems there are 2 main contenders: quantstrat, which uses the packages ...
3
votes
1answer
96 views

How to get the the final % return in backtesting?

I'm learning how to do backtesting in Python using Pandas. I'm learning how to use Moving Average Crossover. I've generated signals to buy or to sell already. But I'm not sure where to go from there? ...
4
votes
1answer
71 views

Why the diff of signal is called positions and what does it mean in backtesting?

I'm trying to learn Backtesting 101. I found this example which is very simple but I do not quite understand some of the terms. I understand Moving Average algorithm which is to measure trends or to ...
3
votes
2answers
131 views

Limits on Short selling

When back testing an algorithm that relies upon short selling certain stocks, how to limit the short selling so that the back-test results still remain reliable? What kind of controls are generally ...
3
votes
0answers
92 views

Strategy Testing

Firstly I am a newbie so I will apologise in advance if this is in the wrong forum. My question concerns testing for an equity trading strategy and I would appreciate any comments as to whether my ...
2
votes
4answers
885 views

Backtesting with Simulated Historical Data?

The trading strategies that are going to backtest well are the ones that pick the winners from the past. For example, if a trading strategy simply bought apple stock it would backtest extremely well. ...
5
votes
4answers
853 views

Backtesting - can you buy/sell at open and closing prices?

In backtesting (nasdaq stocks), I make the assumption that I have the ability buy/sell each day at the opening and closing prices. Is this realistic?
2
votes
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
votes
1answer
61 views

Historical index components (FIGIs) from bloomberg?

In order to run strategy simulations, I am trying to build a database of historical equity data using Bloomberg. I can pull the ticker symbols corresponding to the components of an index at any point ...
1
vote
2answers
152 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 ...
4
votes
3answers
452 views

What is an acceptable Sharpe Ratio for a prop desk?

What should be the value of a Sharpe Ratio for an intraday quantitative strategy to be accepted by a bank or hedge fund's prop desk? Let's assume the returns are daily changes in account equity, close ...
1
vote
1answer
326 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 ...
5
votes
1answer
350 views

Backtesting on historical option data

I have downloaded some daily historical option data for a timespan of 10 years and want to perform trading backtests with them. Data are European index options, on ODAX. My question is about realistic ...