Questions tagged [backtesting]
The process of evaluating a strategy, theory, or model by applying it to historical data.
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How can we determine the minimum viable holding period given granular data and transaction costs?
Given assumptions around transaction costs (e.g., slippage, fees), and potentially downsampled tick or bar data, how can we derive the minimum holding period required for a strategy to be viable — ...
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Using Only Trade Data for Backtesting/Analysis in Presence of Bid-Ask Bounce?
We are given historical trade data from a cryptocurrency exchange — in our case, Kraken — which, for each trade, includes the following information:
Time of trade
Trade Price
Trade ID (Integers that ...
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Should we add dividends as a cash to the portfolio cash when using the adjusted close price?
I am backtesting some strategy and using the adjusted close price.
I wonder if I need to take into consideration the dividends paid in cash. Should I add them into portfolio cash or not ?
As far as I ...
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MC Backtesting for Options
I'd like to get your feedback on how you would approach Monte Carlo simulation to backtest some options strategies. My main concern is about how to model the dynamics of the implied volatility (IV) ...
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Is this a valid shortcut for backtesting free of survivorship bias?
We backtest a very complex equity strategy that uses dozens of different fundamental and macroeconomic indicators. To make this backtest free of survivorship bias, we first collected all stock tickers ...
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Back testing & validating of Systematic Trading Strategies
The systematic trading industry has undergone major development over the past few years, with a lot of emphasis on machine learning and AI recently.
What books would you still recommend as the gold ...
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Seeking Feedback on Indicators Based Trading Strategy Project: Verification and Improvements Needed
I’m developing a stock market analysis system to help traders make informed decisions using technical indicators like RSI, SMA, OBV, ADX, and Momentum. The system analyzes historical data to generate ...
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Rationale behind independence testing (e.g. Christoffersen’s test) for Value at Risk backtesting
I'm reading up on backtesting methodologies and having trouble understanding the rationale for independence testing using, for example, the Christoffersen method. (Christoffersen, Peter F: Evaluating ...
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PCA Backtesting for Hedging
I am working on a project to use PCA for hedging.
How can I backtest that the risk obtained with under a MultiVariate Normal model is working well?
(PCA for Risk bucketing)
Let's say, I have ...
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Size of blocks in Block Bootstrapping of returns
I am working on long term portfolio allocations. With larger investment horizon like 5-10 years, 20 years of data that I have is not enough. So I decided to do some bootstrapping to generate some ...
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PineScript: How to create a signal to buy or sell that uses multiple indicators like RSI, Bollinger Band, etc, at once?
So I am trying to create a signal on tradingview but the problem I am encountering is, I have a bunch of indicators, etc. that have to align and on pinescript, for those who are familiar, they have an ...
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Automated backtesting in TradingView
I have TradingView desktop app installed on an AWS LightSail instance. I am looking to backtest my testing strategy, but it is more of an event identification script. I want to find out the specific ...
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Simple approach to estimate survivorship bias in backtest
I am conducting a backtest on a strategy that involves buying individual US stocks and selling them after a specific period. One of the key challenges is addressing survivorship bias. Ideally, the ...
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When is cashflow data available exactly?
I want to perform a backtest that should be as realistic as possible. My strategy uses, among other things, the Net Income and Cash Flow from operating activities from the Income and Cash Flow ...
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Strategy works on backtest, but doesnt seems to work in the real world
I have a strategy that works in the backtests.. but it seems to me that it is not working in the real world.. Here is how i have backtested the strategy:
I apply a specific strategy on all the stocks ...