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I'll answer as if the backtester design goals were driven by specific system in development or planning. There's a lot of data to process in the market and atleast for my own system development I like to focus on data that I think may provide value in the system development. For that reason I chose to capture data from my broker - they offer so much data ...


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Backtesting, to me, necessarily involves testing against (realised) history of the securities under question. Wikipedia also seems to support this interpretation. http://en.wikipedia.org/wiki/Backtesting This history of the realised prices, of the securities under question, was generated by a certain pricing "model" or distribution. If you test against a ...


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Have you checked White's "reality test" (White H. A reality check for data snooping. // Econometrica. 2000. № 68. С. 1097–1126.)? Anyway, when you use Monte-Carlo, you always have a variation of "double hypothesis" issue, noted by Fama: first hypothesis is that your model of the market is right, and the second - that trading rule you test (against your ...



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