Backtesting

This chapter contrasts the three primary methods for backtesting a quantitative strategy.

This chapter explains why most backtested strategies in finance are false discoveries.

This chapter provides a comprehensive overview of the statistics required to evaluate a backtest, regardless of the backtesting paradigm used (historical, cross-validation, or synthetic).

This chapter argues that backtesting is one of the most misunderstood and misused techniques in finance.

This chapter argues that standard backtesting (historical simulation) is a flawed method for calibrating trading rules (like stop-losses and profit-taking barriers).

This chapter argues that, much like in poker, bet sizing is a critical component of a profitable investment strategy.

This chapter introduces the crucial concept of Strategy Risk, distinguishing it from Portfolio Risk.