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This was too long for a comment, so I'm writing it as an answer. I have provided some interesting literature that will give you insight into the common pitfalls of backtesting algorithmic trading strategies. Marcos Lopéz de Prado on backtesting: Marcos Lopéz de Prado provides some very good slides giving you a quick introduction to the goal of backtesting, ...


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The Carhart 1997 paper, "On Persistence in Mutual Fund Performance", is probably a good reference for doing exactly what you're looking to do. I think you would want to do a multivariate regression of your returns against the market's factor returns. Then the regression will give you both an intercept and the loadings (betas) to each risk factor. ...


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