New answers tagged backtesting
In database-speak, this problem has been solved with things like two-phased commit. That's used in transaction (money) processing when the machines are separate and nothing can be lost. That design required a unique token (like your Tick would have) but generic (not a tick but your own creation). The process is one machine says "I'm ready to do 'A' if you ...
If I'm correct Backtesting VaR usually boils down to two conditions: The unconditional coverage hypothesis : the probability of an ex-post violation must be equal to the coverage rate. (ie : if 0.01 confidence level, you should get 1% violation). You can test it with the Kupiec Test . The independence hypothesis, your VaR violations should be independent. ...
The moving average is determined as of the close of a particular day. Then to calculate the P&L you have to multiply today's state (1 or -1) by TOMORROWs return, instead you are using todays! So for example the formula in H13 needs to be E14/E13-1 and not as you incorrectly have it E13/E12-1. HTH
Your return calculation should be on total return, i.e. include dividend income. Your signal, if it is price only, then you should take the price series and not adjust.
quant tick downloader. free with the most accurate free tick data u can find. click here also for yahoo finance data in R try the Quantmod package getSymbols("^GSPC", from="1990-01-01" , to ="2000-01-01" )
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