Questions tagged [backtesting]

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

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20 views

Adjusting volatility while constructing portfolio

I am trying to construct a portfolio based on a macro momentum strategy for backtesting purposes as outlined in https://www.aqr.com/-/media/AQR/Documents/Insights/White-Papers/A-Half-Century-of-Macro-...
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62 views

How to backtest algorithms in parallel?

I want to backtest a large number of algorithms on the same dataset, one stock ticker. The algorithms are actually variations of one algorithm with various combinations of parameters, amounting to ...
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Zipline calendar spanning multiple days

I am trying to back test an algorithm using zipline and need to build a zipline calendar that maps to my brokers opening hours. My broker (FXCM) opens on Sunday at 17:00 and closes on Friday at 16:55. ...
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1answer
78 views

Backtesting a stock scoring model

I'm working on a simple stock scoring model consisiting of 3 factors: 1.market cap 2.liquidity of the stock 3.the value at risk we defined 3 intervals for each factor and we assigned the ...
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34 views

Which Python or C# backtesting framework supports multi-asset?

Is there any backtesting framework written in C# or Python that supports multiple assets? I'm trying to backtest a pair trading strategy that requires to
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1answer
51 views

How to build a loop function for out-of-sample backtesting?

Many statistical libraries in R offer the possibility to fit a model and then use the results of optimization to predict values some periods ahead. However, many do not have the possibility to ...
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62 views

How do you simulate pseudo-realistic ask/bid quotes given a history of 1m OHLC candlesticks?

I'm currently backtesting and livetesting a RL-based system using the close of the last 1m bar as both ask and bid. While results are excellent, this is not a very realistic arrangement. In the ...
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100 views

What are the best free software for backtesting?

I am running a project to compare features of different backtesting software. A viewpoint to touch is on whether pricey software come with better characteristics/results thus justifying a higher ...
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2answers
57 views

How to estimate the probability of Clustering illusion in our backtest result?

Suppose I have a strategy, I run a backtest on it in only one symbol (suppose the historic data to backtest is 25000 candles). The results of that backtest is: Total Trades = 50 TakeProfit/...
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How to calculate average entry price for perpetual swap contracts?

I'm trying to calculate the average entry price for perpetual swap contracts for use in back-testing a trading strategy, as per Bitmex's documentation: A Perpetual Contract is a derivative product ...
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Walk-Forward Analysis: Sensitivity of Result w.r.t. shift in train/testing windows

I currently test numerous Trend-Following/Momentum and Mean Reversion trading strategies for cryptographic assets with granularities ranging from daily to 3 hourly spaced data points. The general set-...
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How to backtest a sample of trades to optimize stop loss on losing trades and profit targets on winning trades?

I have a history of hundreds of executed trades. Given those trades, I want to know if there's a tool or framework that can help me figuring out: What would have been the most cost efficient stop ...
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How does duplicate data affect backtesting?

Before developing a trading strategy, one should clean and preprocess his data set. It is very common that a data set contains huge number of duplicates. Question: How does duplicate data affect ...
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Calculating a trading profit rate

I wanted to chek my backtester engine, so I opened a tradingview account and I ran the same test. All buy and sell numbers, prices, dates, indicator calculation, etc were exactly same, but profit ...
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29 views

Entry price to consider while doing a forward/backtest test?

1 min timeframe signal generation. Thing I have considered: 1 - Close price can be predictive in nature Counter: shifted the ...
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49 views

What are your favourite benchmarks for signal (pre-trading strategy) backtesting?

In some situations, e.g testing the value of individual signals to be built into an ensemble method, it can be a bit too early to implement trading logic for the strategy needed to do a standard ...
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125 views

Why do we need event-driven backtesters?

I am reading this article at quantstart regarding event-driven backtesters. It seems to me that the main advantage of using an event-driven backtesters is that it avoids look-ahead bias. Usually I ...
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1answer
68 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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36 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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102 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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104 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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80 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
62 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
51 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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184 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
102 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
118 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
131 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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251 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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188 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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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
201 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
182 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
336 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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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
1k 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
90 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
442 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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110 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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127 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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84 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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108 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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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
269 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
1k 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
100 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
1k 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
156 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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27 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
365 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: ...