Tag Archives: Backtesting

In defense of a quantitative approach to financial markets

I have the feeling that there is some subtle yet spread misconception about data-driven research in financial markets and I will take this article: Seeking Alpha – Not Even Wrong: Why Data-Mined Market Predictions Are Worse Than Useless by Justice Litle … Continue reading

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Order matching algorithms

In today’s markets dominated by High-Frequency algos, room for profits for non-HF (and more importantly, non-HF aware) guys is generally speaking reduced. The proportional performance impact of HF is likely to be bigger the smaller is your average trade and the shorter … Continue reading

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Overfitting, forecasting and trading

In one way or another, trading is mainly about predicting the future from the past and the main question is to know how likely our bet is to be successful.  To try to answer this question without waiting for the … Continue reading

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Quantile normalization: a simple trick to reduce overfitting

To understand whether a strategy is able to perform in the future, the first question to ask is probably whether our strategy really showed great performance in the historic back-test or all it was doing was just describing past data accurately. In … Continue reading

Posted in On backtesting, Performance Metrics | Tagged , , | 3 Comments