Backtesting with Quantstrat

Harry Georgakopoulos

Chapter 7 in Quantitative Trading with R, 2015, pp 147-175 from Palgrave Macmillan

Abstract: Abstract Backtesting is one of those activities in quantitative finance and trading that takes up a significant amount of time. It refers to the systematic methodology of testing out a particular hypothesis about market dynamics on a subset of historical data. It is akin to the scientific method in that it attempts to reconcile hypotheses with empirical observations. The end goal is to form predictions that result in profitable outcomes. The implicit assumption in all of this is that the historical patterns will, with high probability, manifest again in the future. The ultimate goal is to be ready to capitalize on those patterns when they are again detected

Keywords: Trading Strategy; Sharpe Ratio; Risk Metrics; Cumulative Return; Trade Size (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-43747-1_7

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DOI: 10.1057/9781137437471_7

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