photoguy
Thinks s/he gets paid by the post
- Joined
- Jun 15, 2010
- Messages
- 2,301
I thought this was a very good article (although somewhat technical) about how backtesting can fail or mislead:
9 Mistakes Quants Make that Cause Backtests to Lie by Tucker Balch, Ph.D. | Quantopian Blog
I never did any backtesting with financial/stock data (beyond running FIRECALC etc), but I saw a lot of these errors in other areas during my former work life. These were even made by people with advanced degrees in quantitative fields.
Just something to think about for those trying to interpret backtesting studies or running their own tests...
9 Mistakes Quants Make that Cause Backtests to Lie by Tucker Balch, Ph.D. | Quantopian Blog
I never did any backtesting with financial/stock data (beyond running FIRECALC etc), but I saw a lot of these errors in other areas during my former work life. These were even made by people with advanced degrees in quantitative fields.
Just something to think about for those trying to interpret backtesting studies or running their own tests...
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