backtest
Strategy replay analysis
To backtest is to evaluate a strategy, model, or system by applying it to historical data.
Traders backtest investment strategies against past market performance: We backtested the algorithm against ten years of stock prices.
The practice reveals how an approach would have performed, though past results don't guarantee future success.
Common in finance, quantitative research, and machine learning.
Imitation of real processes
- historical dataPreviously gathered information
- strategyPlanned approach to goals
- algorithmFinite problem-solving procedure
- performanceCarrying out a task
returns · metrics · validation · optimization · parameters · drawdown · benchmark · overfitting
Planned approach to goals
- portfolioCollected works or assets
- signalsConveyed indications
- entryAccess or submission
- exitWay to leave
risk management · buy · sell · orders · execution · market conditions · indicators · technical analysis
Raised flat structure
- engineMachine producing motion
- frameworkUnderlying support system
- PythonLarge nonvenomous squeezer
- APISoftware communication standard
code · library · vectorized · event-driven · debugging · visualization · reporting · dashboard
Degree of correctness
- reliabilityConsistent, predictable performance
- biasUnfair inclination or prejudice
- lookaheadAdvance examination technique
- survivorshipState of remaining alive
assumptions · limitations · realistic · hypothetical · paper trading · regime change · black swan · edge cases
simulation
Imitation of real processes
- historical dataPreviously gathered information
- strategyPlanned approach to goals
- algorithmFinite problem-solving procedure
performance · returns · metrics · validation · optimization · parameters · drawdown · benchmark · overfitting · curve fitting
strategy
Planned approach to goals
exit · risk management · buy · sell · orders · execution · market conditions · indicators · technical analysis · moving average
platform
Raised flat structure
API · code · library · vectorized · event-driven · debugging · visualization · reporting · dashboard · pandas
accuracy
Degree of correctness
- reliabilityConsistent, predictable performance
- biasUnfair inclination or prejudice
- lookaheadAdvance examination technique
survivorship · assumptions · limitations · realistic · hypothetical · paper trading · regime change · black swan · edge cases · confidence interval