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Perils of Using Exchange Traded Products in Backtests

Posted by Michael Harris on February 27, 2020

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Backtests with Exchange Traded Products (ETPs) can be misleading because these securities were developed after the stock market crash of 1987 and the bulk of them after the dot com bear market . . .

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Michael Harris

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Quantitative trading

The Three Types Of Backtests According to Clifford Asness

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Hypothetical or simulated performance results have certain inherent limitations. Unlike an actual performance record, simulated performance results do not represent actual trading. Also, since the trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Hypothetical trading results are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown.

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