Tag Archives: backtesting
The financial blogosphere is flooded with inaccurate backtests of trading strategies and portfolio allocations. The empirical rule is to never trust any backtests unless verified by expert consensus.
Before elevating trend-following and momentum in general to the status of a factor, this question must be answered: where do trend-following profits come from? Obviously, part of momentum literature ignores this important question.
These frequent posts in social media involving backtest results reflect a growing problem that is more serious than it appears and it makes it economically difficult for genuine services to survive in this game.
Variations in the results generated by different backtesting platforms are common. In this article, I compare year-to-date backtesting results from Amibroker and Quantopian for a robust strategy that was machine designed by Price Action Lab software a few years ago. … Continue reading
Arguments in favor of market timing usually rest on the existence of the momentum premium anomaly and empirical analysis that shows it can be captured with relatively simple strategies, such as moving averages and price rate of change. However, these … Continue reading
The more discretionary and quant traders try to analyze market price action, the higher the chances of failure. This may sound counter-intuitive because it contradicts the common belief that the more one tries to achieve a goal, the higher the … Continue reading