Tagged Questions
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0answers
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Inferring Returns From Minimal Data Points [duplicate]
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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 ...
8
votes
3answers
286 views
How to account for market movement when some exchanges are closed?
Daily data, such as open and close prices, is often available for much longer periods than high-frequency data. However, whenever backtesting any strategy that examines instruments traded in different ...
6
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1answer
360 views
Are shorter holding period strategies better?
Consider two statistically identical strategies (identical information ratios, sample size, ratio of transaction costs to total profit, etc.) except that one has a much shorter average holding period. ...
17
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2answers
1k views
How much data is needed to validate a short-horizon trading strategy?
Suppose one has an idea for a short-horizon trading strategy, which we will define as having an average holding period of under 1 week and a required latency between signal calculation and execution ...
9
votes
3answers
399 views
Literature on generating synthetic time series for testing
I have some market data (daily time series) for bond prices and CDS indices and I would like to generate synthetic versions of these which are statistically "similar" for testing trading strategies. ...
