Questions tagged [backtesting]

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

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41 views

In-sample and out-sample backtest performance, how to do this?

I have a strategy in development that I am backtesting to optimize for parameters, a total of N combinations. Trying my best not to overfit. I run the first backtest for the in-sample period and I ...
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23 views

Mean directional accuracy and zero

I'm trying to use mean directional accuracy to evaluate my directional predictions in back-test, but it can't deal with realised directions which are 0, due to the comparison of the signs of ...
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72 views

In sample and out of sample in Mean Variance Optimization

Hello to everyone and thanks again for your help, i have find this forum really helpful while working on my final dissertation. However I'm here again because I have loads of doubts regarding the in-...
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94 views

how to avoid building a strategy that depends on very long trends

When I construct a strategy, it is easy to make subtle dependencies on trends that have existed for a long time. Sometimes it is legit to explicitly take advantage of the trends. For example, it has ...
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2answers
62 views

Lower MSE results in less profit when using Machine Learning

When using Machine Learning for predicting stocks, can a lower Mean Squared Error result in less profit after Backtesting or is there a mistake in the experiment?
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1answer
55 views

DATA for Backtest [duplicate]

I am a retail trader and i am looking for a data set that comprehends all us equities, ETF's, ADR's and indices going back at least to January 1st 2007. Data would need to be split + dividend ...
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1answer
44 views

Backtesting model results, but backtesting output sampled at different frequency than model output

So, I'm trying to backtest a model that computes P&L. This model pulls sensitivities on a weekly basis and applies market shocks to these sensitivities to project quarterly P&L. I want to ...
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1answer
120 views

stress testing zero coupon yield curve

i'm currently trying to stress test the zero coupon yield curve using daily observations from 2003 to 2019. Each Zero coupon yield curve originate from an actuarial curve with 37 tenors that range ...
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2answers
92 views

Compare two distributions for forecasting returns

Let's imagine that we have two separate models, both used to forecast the return for the next period. Both models are estimated everyday, and both models outputs a probability distribution. How can we ...
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1answer
101 views

Which data provider do you recommend? [duplicate]

i need to run optimization models and backtests on developed market equities. I have access to Refinitivs Eikon, but it doesnt have a backtest tool and downloading the data is a challenge on his own. ...
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1answer
88 views

How to take back-tested code and convert it to forward-testing code? (in Python)

How do you take back-tested code written using the zipline API and convert that into forward-testing code using the IB API (or better yet ib-insync API)? It seems like you would have to completely re-...
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1answer
143 views

Is studying R quantstrat worth the effort for an individual trader? [closed]

I see at least two problems. The R package quantstrat is poorly documented. And one must have dividends adjusted data. Otherwise the test results will be irrelevant.
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79 views

Why “profit factor” is used to compare trading strategies?

A lot of books/articles/trading forums mention that "profit factor" is probably the most important measure and should be used to compare different trading strategies. They define profit factor as ...
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45 views

Historical intraday data [duplicate]

I have been researching on the current APIs that I can request for the most detailed historical end of day intraday quote and trade data available in an easy to use format for research, backtesting ...
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1answer
162 views

R: backtesting with path dependencies

I have a historical PMwR journal of trades (one for each side of position open/close) in R. I wish to backtest trade sizing algorithms, one of the inputs to which calculation will be, on-the-day ...
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2answers
147 views

Cumulative Return on Futures

In my current backtesting, I am using log returns as a proxy for simple returns via the relationship $\ln(1 + r) \approx r$ for small enough r. This gives me wonderful properties like time additivity, ...
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1answer
286 views

Option Strategy: Python Implementation Advice

I've been tasked to create and backtest an option strategy. The strategy, in vague terms, is to essentially write call options on securities in a universe, i.e., selling insurance. I have an idea of ...
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33 views

forex backtesting spread cost modeling

For professional level forex trading, what is a reasonable estimate of roundtrip transaction costs (I am talking about major pairs, like EUR/USD).
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3answers
651 views

Is there a python library to generate performance metrics from returns of the strategy?

I am backtesting a strategy and have data generated from the returns of the strategy. Now I need performance metrics like maximum drawdown, Sharpe ratio, Treynor measure etc., I am writing functions ...
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1answer
78 views

Assessing goodness of a Technical Trading Rule using a ROC model

I am testing various technical trading rules (TTR) on the cryptocurrency market. I have already setup some significance tests, to compare the returns and volatilities. I would now like to test it ...
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4answers
367 views

Backtesting Fundamental Equity Strategies in Python

I am trying to run a local backtest using Python and Zipline seems to be the most popular package out there. Does any one have isnight on ingesting fundamental data for the backtest? The documentation ...
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0answers
107 views

Modelling VIX futures backwardation

I have VIX futures trading algorithm and would like to perform Monte-Carlo simulation of VIX and understand how my algorithm performs on each simulation. In this case, not only VIX should be modeled, ...
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0answers
116 views

Backtest Portfolio Analysis

I actually finished an algorithm that i can use to extract all the trades for each stock (each file for each stock). Essentially, i run this code on Excel where there are the input about one stock, ...
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0answers
59 views

LGD performing model - LGD estimate vs LGD observed

LGD (Loss Given Default) performing model is developed on through the cycle sample which consists of loans in default. What I want is to compare LGD estimate and LGD observed (realized). LGD observed ...
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0answers
78 views

Zipline issue with SPY data

I have written a strategy to backtest in zipline, and every time I ran the backtest, and error is showed with the line: IndexError: index 0 is out of bounds for axis 0 with size 0 After a bit of ...
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14 views

Listed Company's Filing Deadline

Where could I get historical record of listed company's filing deadline that announced by SEC of Asia country & US? I could get the latest deadline from respective SEC websites, but not changes ...
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2answers
217 views

Does using adjusted closing prices constitute a lookahead bias?

One of my machine learning project involves the use of adjusted close prices (from Yahoo Finance, for better or worse) to determine the label – if a stock's adjusted close price increases by more than ...
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1answer
758 views

Backtesting C++ Algorithms

What software is available for backtesting trading algorithms written in the C++ programming language? I would not like to use an online service such as Quantopian or Quantconnect (they don’t offer C+...
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1answer
99 views

Evaluate the significance of the relationship among VIX and the S&P 500

I have the weekly time series of returns for both VIX and S&P 500. For the VIX I'm looking at 1 week return period (e.g. this is a 5 day return series rolling weekly) For the S&P 500, ...
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2answers
912 views

Backtesting Market Making Strategy or Microstructure Strategy

How does one backtest either a market making strategy or microstructure-based strategy? I'd imagine that one way would be to record order book states over time and then insert the orders, but it seems ...
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1answer
112 views

Historical stock borrow fees

I am not sure if this is an appropriate question, but anyway: to properly backtest long/short strategy one must have data on what the short loan fees were/are. Is there any decent data source for that?...
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26 views

Dynamic counterpart for model tunneling/optimization using past data

When we tune a model to optimize parameters for a strategy using past data, even if controlling for overfitting (checking out of sample performance) and refreshing the analysis from time to time, we ...
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1answer
311 views

How to properly set strategy parameters and select portfolio

I have the following strategy pipeline which is a function of several hyperparameters and execution parameters: ...
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0answers
207 views

Berkowitz test for CVaR backtesting

I want to test CVaR using the Berkowitz test (focus on the left tail). I have a couple of doubts: Do I need to transform only actual losses that are above CVaR; In the first transformation, whether ...
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3answers
346 views

Backtesting, how missing data points should be handled?

Assume a daily trading strategy. Obviously, there are weekends and holidays when the market is closed. Should those days be excluded completely or should the price be interpolated in some way to fill ...
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84 views

Backtesting: what happens to real-executed order if mine fills instead?

I'm writing a backtester and using an order-by-order Nasdaq ITCH feed whilst testing it. Let's say the bid-ask spread is 100 @ 9-11 @ 100 My strategy inserts an bid order for 100 @ 10 and this ...
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2answers
395 views

Backtrader doesn't display time when backtesting

I am trying to backtest a strategy with Backtrader (not the first time) and have a problem while printing date & time for each iteration (time stay on 23:59:59). Here are the first lines of my ...
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1answer
444 views

How to combine rolling window backtest result?

I have a strategy that buys a set of stocks and holds them for 6 months then rebalances. I would like to apply a rolling window backtest to the following strategy, but am wondering what is the ...
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1answer
282 views

Doing opposite of what the model says

Is it considered a viable trading strategy to do the opposite of a consistently losing model? That is, whenever the model says short, you go long, and vice versa. Disclaimer: I would never do this. ...
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1answer
332 views

Python Library To Calculate Porfolio Statistics

I am working through some backtesting ideas and I would love to capture the basic statistics results for comparison, (cumulative returns, annual returns, sharpe, omega etc.) Is there a python library ...
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1answer
123 views

Unsupervised learning and in out of sample

Assume we are given $N$ samples, let's say small timeseries of 1 hour resolution daily exchange rates - for the sake of argument. Each sample is a $24$ element vector $x$. Then we proceed to do ...
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1answer
437 views

quantstrat for backtesting vs. writing one's own code in R

I have invested a few years in learning R and have developed a number of Monte Carlo backtesting scripts. My question is this: In general, for a person with some experience writing R code who is ...
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1answer
105 views

Dual Settlement Market Backtesting and Analysis

An interesting problems I have been dealing with as a relatively new quant to the Electricity markets is the difficulty of back testing. The issues I have been having with backtesting are that the ...
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1answer
179 views

expected shortfall as unconditional expectation

Acerbi has several backtests for expected shortfall. The second backtest is based on this equality Does anybody know how to derive this equality? Can anybody explain, why it makes sense, especially ...
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1answer
156 views

VaR Backtesting. High frequency of exceedances

I'm preparing for thesis defense and I've got simple question connected with Value at Risk backtesting. Portfolio VaR was calculated using historical simulation approach (250 days and 500days) and ...
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0answers
457 views

Extracting continuous futures prices on different dates with the ratio adjustment

I extract continuous prices for a set of futures contracts using Bloomberg. I select the Ratio as adjustment with the Bloomberg default settings. For instance, to extract the first/forward generic ...
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0answers
121 views

Multi objective optimization Swaption/Caplets joint Calibration

People suppose that we have a two asset type portfolio optimization (as Intrument Type 1 and 2). In the each portfolio refered by the instrument type there are 2 asset so we have four asset in total. ...
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1answer
585 views

Backtesting Value at Risk. With kupiec test

I have a certain problem with backtesting calculated earlier Value at Risk. I've got calculated daily VaR with historical simulation method for stocks. I've used two values of alpha 0.05 and 0.1. Now,...
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1answer
463 views

Margin modelling to backtest futures investment strategy

Let say that I have access to continuous daily time series for 20+ years of data for E-mini S&P 500 Index Futures. I have a long/short strategy to backtest that places orders either on open or ...
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0answers
156 views

reference for portfolio / margin calculations in backtesting tool

I have been tasked with writing a backtesting tool from scratch. I understand a lot of trading operations, but I am primarily a researcher. I need to support futures and equities trading. I need to ...