Questions tagged [backtesting]
Backtesting is the process of applying a trading strategy or analytical method to historical data to see how accurately the strategy or method would have predicted actual results. It offers analysts, traders, and investors a way to evaluate and optimize their trading strategies and analytical models before implementing them.
18
questions
2
votes
1
answer
200
views
Is relying only on large cap stocks a reasonable trading strategy?
I have worked on a simple strategy that looks for the stock with the largest cap, buys it, keeps it until it has a 2% increase, and then repeats the process again.
This is a simple strategy but ...
- 23
0
votes
2
answers
109
views
How to simulate a stop-limit order, stop-loss, and take-profit in backtesting?
I'm working on backtesting a strategy. I need to simulate stop-limit order, stop-loss, and take-profit. Here's my understanding of these concepts:
Stop-limit order: You ask the broker to buy the ...
- 13
0
votes
1
answer
152
views
Do trading platforms purchase stocks at open price if you order the night before?
I am working on a simulated back-testing algorithm. I'm making an assumption that if you place an order of type "market", which means you ask to purchase the stock at the price of the market,...
- 13
0
votes
3
answers
173
views
Backtesting: how to separate the predictive power of a trading strategy from the market trend
I noticed that some traders use backtesting to evaluate their trading strategies. What I don't understand is: how do they separate the predictive power of their trading strategy from the general ...
- 16.9k
0
votes
2
answers
180
views
Using adjusted close vs close + dividend in performance calculation
I'm trying to calculate a portfolio's value using 2 types of calculations. I've tested the calculations on Visa's Feb 21' stock prices.
Starting Value: 10k
Jan 29,2021 Adjusted Price: 192.95
Jan 29,...
- 1
0
votes
5
answers
208
views
Is backtesting only for disproving trading strategies rather than "proving" them?
I sometimes read articles where author X presents a new trading strategy, and then shows backtest results to "prove" that the trading strategy was more profitable than some chosen benchmark. ...
- 16.9k
1
vote
1
answer
248
views
Backtesting using only Bid or Ask Price
I have a dataset containging one minute bid OHLC prices for a particular stock. Would it be reasonable to back test a trading strategy based on this data that only has bid prices? I am asking this ...
- 111
-1
votes
2
answers
122
views
Would you rather follow a trading strategy that is simple to understand, or one that backtests well?
I've been making a momentum-based stock selection strategy where I basically fit a bunch of weights to different parameters in order to rank stocks. So for example I might take 0.3 * [performance last ...
- 99
1
vote
0
answers
87
views
Optimisation of a Trading Strategy (Walk Forward Analysis)
To the pro traders:
What do you do when the past two years of a WFA (10-15 year period) had an increasing loss (2017 = -4%, 2018 = -8%) while the other years were profitable?
Do you modify the ...
- 13
1
vote
4
answers
396
views
Finding the most profitable strategy in hindsight
Is it possible to calculate (in a reasonable amount of time) the maximum profit, and strategy you could have used for history data?
So for example buy day 1, sell day 10, buy again day 15, sell day ...
- 123
0
votes
1
answer
394
views
Are dividends on YahooFinance adjusted for splits?
Here is an example from YahooFinance of dividends paid over time.
I assume these numbers are USD - is this correct?
My other question is if these dividends are adjusted for splits? In this example ...
user66128
0
votes
1
answer
413
views
Backtesting for Vanguard Mutual Fund investments
I'm new to this so my apologies if this is out of place or not a "correct" use of backtesting.
Is there a free service (or python package) for backtesting investment strategies for Vanguard mutual ...
- 1
3
votes
3
answers
1k
views
Backtesting daytrading strategy, how to handle the spread?
I am currently developing a daytrading application which based on rules and algorithms buys or sells stocks, which right now might buy/sell a stock in the magnitude of 100 per day.
I am trying to ...
- 133
4
votes
0
answers
958
views
Why doesn't Yahoo Finance Adjusted Close value match between its API and web interface? [closed]
I see a lot of differences between the adjusted close price in the Yahoo finance web interface and the adjusted close price returned from their API.
Take Apple (AAPL) as an example. If you look up ...
1
vote
1
answer
497
views
Are stock screeners with backtesting a real possibility for a trading strategy?
Some stock screeners offer backtesting. They may sell everything and buying 10 top stocks passing their criteria once a month.
There can be many different rule sets, all with stellar returns over ...
- 11
2
votes
2
answers
307
views
Incorporating real-world parameters into simulated(paper) trading
A bit expanding the question asked here, I want to try and test a strategy using a simulated(paper) trading. As a first step, I have tried to find any brokers who provide a convenient simulated ...
- 597
25
votes
4
answers
29k
views
Should I use regular or adjusted close for backtesting?
In an attempt run few backtesting tasks, I have obtained some historical data. I noticed that there are two closing prices available, regular close and adjusted close.
After doing some reading, I ...
- 597
6
votes
3
answers
2k
views
Is backtesting a reliable concept?
I've been using technical analysis approach for several years right now and currently explore the algorithmic/automated trading techniques.
It seems that one of the most important aspects of creating ...
- 597