Questions tagged [backtesting]
The process of evaluating a strategy, theory, or model by applying it to historical data.
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What are the advantages of knowing the bid and ask over the best bid and ask?
I am importing historical intraday tick data from Bloomberg and I noticed the Bloomberg API allows users to import best bid, best ask, bid, and ask prices
If I am backtesting a trading strategy, what ...
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VaR backtesting with overlapping time intervals
Of course the issue here is dependence: can it be removed or accounted for (in independence tests too, which of course would be troublesome)? There's a lot of literature on regression in this setting, ...
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Encyclopedia of Statistical Tests
I am aware of: Encyclopedia of Chart Patterns,
Encyclopedia of Technical Analysis.
Question
I'm wondering if there's something similar, but in the form of:
"Encyclopedia of Statistical Backtesting ...
user2936
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Aftcast Generation
Aftcast is a way of simulating equity curves for different start years, usually from a large sample data ~100 years. Its kind of like start date sensitivity testing but in my case, I incorporated ...
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How far back is normal to backtest an ATS ? [duplicate]
Possible Duplicate:
How much data is needed to validate a short-horizon trading strategy?
How far back do people usually backtest trading systems? months? years?
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Inferring Returns From Minimal Data Points [duplicate]
Possible Duplicate:
How much data is needed to validate a short-horizon trading strategy?
Suppose I have daily returns for a trading strategy against one month of data. Before starting trading on ...
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How do I backfill the price of bonds for backtesting?
I need to backfill the price of bonds for testing a startegy.
The method employed is:
Regressing the YTM of the bond against a benchmark.
Using the regression estimates to calculate the YTM for the ...
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How should I include the bid-ask spread as a transaction cost in a backtest?
I have two backtesting algorithms:
One that uses bid and ask prices for signal generation. For example: Buy when $ask < threshold_1 $ and sell when $bid > threshold_2$. Bid and ask prices are ...
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What latency should I use for backtesting a high-frequency strategy?
We're developing an HFT strategy for highly liquid futures traded at Eurex. We are planning to colocate our server and to use data feed of QuantHouse and execution API of ObjectTrading. Backtesting is ...
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How to account for transaction costs in a simulated market environment?
I am simulating a market for my trading system. I have no ask-bid prices in my dataset and use adjusted close for both buy and sell price. To account for this I plan to use a relative transaction cost....
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Cross Bid and Ask prices for Forex trading
I am using ITCH protocol to get the Market Data information for Forex and trying to implement LOB on it and what i have noticed is that Bid and Ask prices are crossing very often.
Should that be ...
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Resequencing of MsgSeqNum in FIX 4.2
I am trying to achieve the following functionality using QuickFIX for FIX 4.2
Send a couple of orders and make sure they’re filled.
Then disconnect.
Change the incoming (from Broker) sequence number ...
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How to calculate the most realistic historical option prices with additional publicly available parameters
This is a follow up question of this one.
My aim is to create the most realistic historical option prices possible with publicly available data. I want to do this for backtesting purposes.
The ...
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Are there canonical test cases for testing of pricing engines
Short intro: We are developing pricing engines for the calculation of market risk in a Solvency II solution, including bonds, callable bonds, cds, options, futures and so on. Are there any canonical ...
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One bar look-ahead backtesting
Suppose you backtest the EUR/USD (or GBP/USD) forex pair with this system on the 1min timeframe:
1) Enter the market at any time n: go long if the "future" bar n+1 has a higher close as the close ...
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Any research paper on stop loss?
Has there been any rigorous study on stop loss ? When to apply it?
Has it been shown to work through proper statistical backtests?
I am interested in Equities, preferably European stocks.
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What benchmark/index to use for backtesting a portfolio of stock options?
What benchmark should I use for backtesting a model for when I should buy an option of a particular stock? For equities, one could say their portfolio outperformed the S&P 500. I would like to ...
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Which indices to use for an equity vs. fixed-income portfolio simulation?
I want to backtest several basic optimization methods (e.g. MVO, "most-diversified portfolio"), and I want to do this on a basket of different asset indexes. To start with, I want to simulate a 60/40 ...
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How to account for market movement when some exchanges are closed?
Daily data, such as open and close prices, is often available for much longer periods than high-frequency data. However, whenever backtesting any strategy that examines instruments traded in different ...
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What tools and libraries may be used to model limit/stop systematic trading?
A lot of the tools/libraries out there seem to focus on close to close time series analysis. This is all fine but I typically do not trade close to close, I will use limit or stop orders that may or ...
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How to properly evaluate backtest returns?
Do you evaluate a strategy in a backtest based on the cumulative returns generated by the strategy (i.e. looking at the cumulative returns of the trades that occur) or do you start with a certain ...
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How to vet an intraday strategy
I am working on an intraday strategy using 5/10 minute bars. I am getting a decent return and sharpe on the strategy. But on close examination I see that I am making about 1 cent per trade (I haven't ...
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How to compute the alpha decay of a strategy?
How can one compute the alpha decay of a systematic trading strategy?
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Evaluating automated trading strategies: accepted practice
Both for private projects, and for clients, I've been working on code a lot this year to evaluate automated trading strategies. This often ends up turning into the task of how to fairly compare apples ...
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How to build a regime-switching model which knows its own limits?
In recent months I've come to the conclusion that there are not only certain regimes in the markets (like bear or bull) but phases where all models fail because we are in uncharted territory. The ...
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What to ask for in a good prototyping framework?
Reading up on quantitative methods, model development, and back-testing, one obvious question springs to mind:
What should one ask of a prototyping (model testing) framework?
I know a lot of people ...
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Are shorter holding period strategies better?
Consider two statistically identical strategies (identical information ratios, sample size, ratio of transaction costs to total profit, etc.) except that one has a much shorter average holding period. ...
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How much data is needed to validate a short-horizon trading strategy?
Suppose one has an idea for a short-horizon trading strategy, which we will define as having an average holding period of under 1 week and a required latency between signal calculation and execution ...
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Literature on generating synthetic time series for testing
I have some market data (daily time series) for bond prices and CDS indices and I would like to generate synthetic versions of these which are statistically "similar" for testing trading strategies. ...
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How to generate synthetic FX data for backtesting?
I want to generate synthetic forex data for the purpose of backtesting my trading algorithms. I have some rough ideas in mind on how to do this:
Start with a curve representing a trend, then randomly ...
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How do I backtest a convertible bond arbitrage strategy in R/Matlab?
Since no one was able to answer my previous question, I am going to try to backtest a modern convertible bond arbitrage strategy myself (perhaps I'll report the results back here, if you're lucky :)). ...
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What is the ideal ratio of in-sample length to out-of-sample length?
Suppose you are running a portfolio of quantitative strategies and that you develop a new potential strategy to be added to the mix. Assume for simplicity that the new strategy is independent of the ...
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What are the advantages of switching platforms/languages between strategy development and implementation?
I am interested in coding a medium frequency (trading over minutes to hours, holding for days to weeks) quantitative trading strategy and trading it with Interactive Brokers.
I have seen many people ...
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Market Data For Project
I'm looking to find a service that will allow me to download historical data on stocks, bonds, options, futures, indices, etc and also to pick up new files either on a daily or weekly basis. I've been ...
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What are the risk factors in analysing strategies?
What do you think of strategies displayed on timelyportfolio.blogspot.com?
I really like the fact that there is some code to reproduce the strategies, but they seem very elementary because he does ...
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Papers about backtesting option trading strategies
I am looking for all kinds of research concerning option trading strategies. With that I mean papers that publish results on different option trading strategies properly backtested with real-world ...
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Comparing backtesting returns with real trading returns
I have 10 years of backtested simulated performance of some trading strategy (using historical prices), and N months of actual trading performance. What statistical test can I do find out if I'm on ...
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How to simulate slippage
I'm backtesting a trading strategy, using free OHLC data from yahoo or google. I'm simulating friction by lopping a flat percentage (say 0.5%) off my returns for each day that I make a trade. Whats ...
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What is an effective way of backtesting VWAP execution?
From Optimal Trading Strategies :
There are two main reasons why traders
execute orders using a VWAP trading
strategy. First, a VWAP strategy is
the trading strategy that minimizes
market ...
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Multiple comparison problems
I recently read a blog entry where some statistics were generated for a common technical analysis indicator. Below is the link. My question shows up close to the bottom under the name bill_080, in ...
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Trading C++ Libraries
Are there any free c++ libraries that would have some of the functions that would be used in developing a trading strategy. For instance, calculating drawdown, Volatility Forecasting, MAE, MFE....etc.
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How to design a custom equity backtester? [closed]
I was thinking about writing my own backtester and I realize I have to make some assumptions. So I was hoping I could post what I am planning on doing and hopefully some of you can give me some ideas ...
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How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option?
In reference to the original Black Scholes model, what approach is best to test the model in a rigorous way? Is there a standard approach that can accomplish this in a reasonable amount of time?
...
user322
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Data on US bankruptcy rate vs. standard valuation ratios
Does anyone know of any research or data on US corporate bankruptcy rates as a function of standard valuation ratios, such as P/B, P/E, etc.?
I'm trying to adjust the results of backtests to account ...
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Seeking Historical Non-Finance Datapoints for Backtesting
I'm working on some financial analysis code which I'd like to test against a historical dataseries to analyze the correlations to my algorithm to some non-finance related data. Ideally, I'd like to ...
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Main backtesting & trading solutions: QuantFactory, Deltix, etc.
What are the most used/mature/promising commercial solutions today which handle backtesting/ automated trading needs?
I'm talking about vertical product suites like QuantFactory or Deltix which ...
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Is there something like opportunistic "superstitious" trading?
This sentence in the following paper got me thinking:
"Some traders [...] trade every pattern whether proven or not, expecting
authentic ones to produce positive results, whilst the profits and ...
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What are the ensemble techniques to forecast returns?
It was pointed in an other question that ensemble methods can help to reduce curve fitting.
What are your experience with these and which one seems the most appropriate? If I had two forecasters that ...
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What are the key risks to the quantitative strategy development process?
Prompted in part by this question on data snooping, I would be interested to know:
What are the key risks that should be considered when developing a quantitative strategy based on: (a) historical ...
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What are the popular methodologies to minimize data snooping?
Are there common procedures prior or posterior backtesting to ensure that a quantitative trading strategy has real predictive power and is not just one of the thing that has worked in the past by pure ...
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