Keywords: Sharpe ratio, Multiple tests, Backtest, Haircut, Data mining, for a trading strategy to be considered “significant” 2 Method
backtesting.pdf
While there is no easy way to prevent overfitting, a number of steps can help reduce its presence 12D Bailey, J Borwein, and M L de Prado, “Stock portfolio
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In this paper we explore one possibility for evaluating portfolio performance using Wolfram Finance Platform and describe the thought process behind it Data
backtest-your-trading-strategies-white-paper.pdf
An additional consideration in specifying the appropriate risk measures and trading outcomes for backtesting arises because the value-at-risk approach to
bcbs22.pdf
In this thesis, the methodology regarding the LPPLS model and ROIC-based valuation framework will be first explained in section 2 In section 3, according to
Master-Thesis_Xingyu-Yang_June2019.pdf
3 Backtesting of A Trading Strategy For the fitting method, optimization and estimation of the parameters we refer the reader to the following
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designed a backtesting process that aims to minimise the probability of Normalised metrics for the trading signal and more advanced allocation methods
Backtest-Framework-Research-Paper-2018.pdf