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Backtesting with Quantstrat

  • Harry Georgakopoulos
Chapter
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Abstract

Backtesting is one of those activities in quantitative finance and trading that takes up a significant amount of time. It refers to the systematic methodology of testing out a particular hypothesis about market dynamics on a subset of historical data. It is akin to the scientific method in that it attempts to reconcile hypotheses with empirical observations. The end goal is to form predictions that result in profitable outcomes. The implicit assumption in all of this is that the historical patterns will, with high probability, manifest again in the future. The ultimate goal is to be ready to capitalize on those patterns when they are again detected

Keywords

Trading Strategy Sharpe Ratio Risk Metrics Cumulative Return Trade Size 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Folk Creations, Inc. 2015

Authors and Affiliations

  • Harry Georgakopoulos

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