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I've never used QuantStrat, but have used SIT for about two years. Michael's blog provides a great way to learn R, understand SIT, and learn about backtesting strategies. I've never found a mistake in his code, and that's how I made a living for 20+ years. It takes some real persistence to understand how to use it in depth, but you can easily set up tests by ...


Ideally you would like to look at both the global backtested period and sub-periods as well, there is nothing wrong with that. No backtesting framework is perfect and no risk ex-ante estimate is perfect either. So you can look at the results over the global period, which conclude that your approach is decent, and then highlight that it particularly didn't ...


Alright this is a good question. I've been there before. As you said, backtesting options will be almost the same as stocks, but with more data to play with (Greeks, volatility, theoretical prices, etc) The most important thing here will be your historical data. Your source of data. In order to backtest options, usually you need to have the whole ...


First, that's a common thing in active hours. Since you are dealing with fx, you should ask Hotspot representative what kind of liquidity are you getting. Usually, if you want to aggress on those crossing prices, you won't be able to. Imagine everybody trying to do arb on that. So, ask Hotspot what kind of liquidity they are sending you.

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