5
votes
Detrending price series for back testing
Depends on what the goal is. If you want to backtest a priced based signal (e.g. RSI, SMA Crossovers, Bollinger Bands or other technical indicators) then it wouldn’t make much sense to detrend the ...
- 1,986
4
votes
Detrending price series for back testing
I am not sure why you want to use detrending as part of a backtest. The only book I know that advocates such an approach is D. Aronson's Evidence based technical analysis, Wiley, 2006.
The valid point ...
- 11.8k
3
votes
Need Guidance on Analyzing Financial Data Across Multiple CSV Files in R
I would suggest that you familiarize yourself with the concept of dataframe. I haven't used Stata yet, but dataframes are all over R and Python's Pandas package which is the main tool of data ...
- 94
2
votes
Question regarding the Category 3 PRIIP MRM calculation
Actually, it is not very clear the legislation. However, from some slides that EIOPA used in a conference I tried to build back their computation and what I found is that:
1) you simulate 10k with ...
- 53
2
votes
Accepted
Using Yield Term Structure for Bond Pricing in QuantLib: Is a Zero-Coupon Curve Necessary?
What curve to use has little to do with QuantLib itself and more to do with how you're modelling credit risk for your bond.
Bootstrapping over OIS rates, whether using QuantLib or not, gives you a ...
- 8,008
1
vote
Proper way to backtest strategy using bootstrap method
Straight bootstrap of the returns of the strategy would result in inconclusive evidence about the ability of the strategy to generate added value in terms of some "abnormal" returns. ...
1
vote
Accepted
Convert UST Yield Curve to Spot Curve (Zero Coupon) using bootstrapping
I'll keep your simplifying assumptions that these bonds have exact 1y, 2y, etc. terms, annual coupons, and no accrued interest.
For the 2y bond, you calculated correctly that the price of the 1st year ...
1
vote
Quantlib Piecewise CubicZero Bond Curve Bootstrap
You can find the documentation for the general Cubic Interpolation C++ implementation here:
https://www.quantlib.org/reference/class_quant_lib_1_1_cubic_interpolation.html
The default values are ...
- 845
1
vote
Sharpe testing in R
Unless you're doing this as a purely educational exercise, it looks like you may be overcomplicating things.
Sharpe ratios follow a student's t distribution. You can thus use standard approaches ...
- 1,660
1
vote
Basic boostrapping question
Your answer is correct. You included .5 in the exponent and therefore got an annualized result. 6.118% divided by 2 is your bootstrapped 6 month spot rate.
1
vote
Basic boostrapping question
You think you make a mistake where you actually don´t make one.
The exercise is just like it is. Resulting in $$r_{6m}>r_{12m}$$
The difference in your both answers, based on the same rounding, ...
- 11
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