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Quantitative Finance · Glossaire

Qu'est-ce que « Backtest, vectorised backtest » ?

Aussi appelé : backtest · vectorised backtest

Definition 16.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 16 — Vectorised Backtests

A backtest is the simulation of a trading rule on historical data, producing the positions, trades, costs and returns the rule would have had. A vectorised backtest computes them as whole-array operations on panels (periods by names): target weights, returns, and costs as functions of the weight traded, without simulating orders.

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