Tag: backtesting
Concepts
- Alpha (α)
- Backtest Design
- Backtest Overfitting
- Beta (β)
- Calmar Ratio
- Cross-Validation for Time Series
- Data-Snooping Bias
- The Deflated Sharpe Ratio
- Information Ratio
- Look-Ahead Bias
- Max Drawdown
- Overfitting
- p-values and Multiple Testing
- Purged & Embargoed Cross-Validation
- Sharpe Ratio
- Sortino Ratio
- Survivorship Bias
- Transaction Costs
- Triple-Barrier Labeling
- Volatility
- Walk-Forward Analysis
Interview Questions
- The best of 100 random strategies looks brilliant
- You found 30 significant signals. How many are real?
- The best of 100 backtests has t = 3, is it real?
- Great in-sample, great in CV, dead live, what happened?
- Why k-fold cross-validation lies on time series
- In-sample R² is 0.6, out-of-sample it's zero, what happened?
- A backtest on today's S&P 500, why it lies