Referenz für Drawdown, Look-Ahead-Bias und Survivorship-Bias
What does look-ahead bias mean when you exercise a back testing?
Look-ahead bias is when data that was not readily available at the time is used in a simulation of that time period. A look-ahead skews the results and leads to overconfidence in models and other frameworks built out of the skewed results. A backtested simulation with a look-ahead bias will not show an accurate result.
What is back testing in trading?
Backtesting is the general method for seeing how well a strategy or model would have done ex-post. Backtesting assesses the viability of a trading strategy by discovering how it would play out using historical data. If backtesting works, traders and analysts may have the confidence to employ it going forward.
What is back tested performance?
In a trading strategy, investment strategy, or risk modeling, backtesting seeks to estimate the performance of a strategy or model if it had been employed during a past period. This requires simulating past conditions with sufficient detail, making one limitation of backtesting the need for detailed historical data.
Why backtesting does not work?
One reason why back testing doesn’t work is because market conditions constantly change. Factors that have affected the market in the past may have no relevance in present day activity. Furthermore, new conditions such as volume, interest rate, and volatility may create new inputs for a market’s behavior.
Why backtesting is a waste of time?
Backtesting works because it saves time
One of those ideas seems promising, the rest probably just a waste of time. You can generate and test hundreds of strategies in just a single day. Even better, you can falsify or confirm the ideas quickly.
How accurate is backtesting?
Backtesting is not always the most accurate way to gauge the effectiveness of a given trading system. Sometimes strategies that performed well in the past fail to do well in the present. Past performance is not indicative of future results.
How many times should I backtest a trading system?
If your trading system generates three trades per day, i.e. 600 trades per year, then a year of testing gives you enough data to make reliable assumptions*. But if your trading system generates only three trades per month, i.e. 36 trades per year, then you should backtest a couple of years to receive reliable data.
How many trades should you backtest?
When it comes to statistical significance, the number 30 gets plenty of attention. When you backtest your strategy, you are attempting to characterize its probability distribution, as statisticians like to say. 30 trades is usually sufficient if you’re trying to verify a distribution you have already characterized.