New answers tagged backtesting
3
Assume that you collect only bid price. For some time period, you may find that bid price does not move while ask price does. In other words, if your purpose is collecting market movement, then by collecing just one of bid or ask would not generate data you want. Perhaps mid price would be better, or micro price to include some bidq and askq information.
For ...
2
I think your best shot is to share with us your 3,000 stocks. How far can that be from FF sample?
As a quick check I took the 25 book-to-market portfolios and the Fama-French 3 factor model and run the standard fama macbeth regressions.
First stage results:
Only 6 alphas are statistically significant from zero (which is good news for the model).
Second ...
2
The answer above is not correct.
Let's go by parts:
Denote the mean of returns $\mu$. Denote the standard deviation of returns: $\sigma$.
Therefore the sharpe ratio is:
$$ SR = \frac{\mu-r_f}{\sigma} $$
The corresponding standard errors are:
$$ se(\hat{mu}) = \frac{\sigma}{\sqrt{t}}$$
$$ se(\hat{\sigma}) = \frac{\sqrt{2} \sigma^2}{\sqrt{T}}$$
$$ se(\...
1
If you use Python one of the most complete library for doing backtest is "Backtrader". Have a look at the GitHub page: https://github.com/mementum/backtrader
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